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Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

  • Antje Mahayni
  • Michael Suchanecki

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    Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts. If the barrier level is equal to the strike, the upper price bound of a Turbo-Long-Certificate coincides with the value of a forward contract. Therefore, in the case of a Turbo-Short-Certificate, the forward implies only a lower price bound. It is shown that in general, the issuer can neither hedge a single certificate nor a portfolio of certificates without using standard options.

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    File URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse8_2005.pdf
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    Paper provided by University of Bonn, Germany in its series Bonn Econ Discussion Papers with number bgse8_2005.

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    Length: 21
    Date of creation: Apr 2005
    Date of revision:
    Handle: RePEc:bon:bonedp:bgse8_2005
    Contact details of provider: Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
    Fax: +49 228 73 6884
    Web page: http://www.bgse.uni-bonn.de

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    1. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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