THE VALUATION OF STRUCTURED PRODUCTS: EMPIRICAL FINDINGS FOR THE SWISS MARKET

被引：0

作者：

Grunbichler, Andreas ^{[1
]}

Wohlwend, Hanspeter ^{[2
]}

机构：

[1] Zurich Financial Serv, Mythenquai 2, CH-8002 Zurich, Switzerland

[2] Wegelin & Co Private Bankers, CH-9004 St Gallen, Switzerland

来源：

FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT | 2005年 / 19卷 / 04期

关键词：

structured products; implied volatility; valuation;

D O I：

10.1007/s11408-005-6457-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article analyses the valuation of 192 structured products without a capital guarantee. In contrast to similar studies, this investigation takes in both the primary and the secondary market. Its central element is a comparison of the implied volatilities of the options contained in the structured products with those of comparable EUREX options. Generally speaking, the results may well come as a surprise both concerning the scale of the phenomenon detected and its significance. Taken as a whole, the results provide grounds for assuming that certain inefficiencies exist on the Swiss market for structured products and that lead managers manage to exploit their quasi-monopolistic position in a rational manner.

引用

页码：361 / 380

页数：20

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