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Vorschlag eines Bewertungskonzepts von Zertifikaten

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  • Armin Varmaz

    (Hochschule Bremen, Professur für internationale Finanzwirtschaft und Unternehmensrechnung, Werderstraße 73, D-28199 Bremen, sowie FOM Hochschule für Oekonomie & Management)

  • Christian Fieberg

    (Universität Bremen, Lehrstuhl für ABWL, insb. Finanzwirtschaft, Hochschulring 4, D-28359 Bremen)

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    Abstract

    The literature has paid limited attention to approaches to analytical certificate valuation. This article proposes a concept, which roots in the Black/Scholes model, in order to analytically value the certificates. The implementation of the proposed concept requires the knowledge of the components of the certificates. Based on a classification of certificates in uniformly constructed classes, we identify the components. Based on formulas for barrier options proposed by Haug (2007) we develop an analytical approach to value virtually all existing certificates. Valuation errors which may occur due to non-observation of the volatility surface or due to market imperfections are analyzed in case studies.

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    Bibliographic Info

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 45 (2012)
    Issue (Month): 2 ()
    Pages: 243–266

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    Handle: RePEc:kuk:journl:v:45:y:2012:i:2:p:243-266

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    Web page: http://www.credit-and-capital-markets.de/

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