Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Mahayni, Antje; Suchanecki, Michael

doi:10.1007/s11573-006-0016-x

Cited by 5 publications

(2 citation statements)

References 3 publications

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“…For the purpose of analyzing long certificates, equivalent to down-and-out calls, it is convenient to first consider down-and-in options (for the subsequent derivation see also Mahayni and Suchanecki, 2006). In a Black and Scholes (1973) framework, standard call and put options (as a function of the strike) have the following values:…”

Section: Semi-static Hedging Strategies Based On Put-call Symmetrymentioning

confidence: 99%

“…From a methodological point of view, our main technique consists in comparing issuers' bid and ask quotes on the EUWAX to (i) theoretical ('fair') values obtained via option pricing models using the price structure of exchange-traded options and, as an important innovation, to (ii) values of semi-static superhedging strategies. For the latter approach, we gratefully accredit recent work by Mahayni and Suchanecki (2006), who propose applying put-call symmetry (PCS) to the analysis of leverage certificates.…”

Section: Introductionmentioning

confidence: 99%

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The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates

Wilkens¹,

Stoimenov

2007

Journal of Banking & Finance

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Section: Semi-static Hedging Strategies Based On Put-call Symmetrymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates

Wilkens¹,

Stoimenov

2007

Journal of Banking & Finance

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Barrier options and lumpy dividends

Siven¹,

Suchanecki²,

Poulsen

2009

Wilmott Journal

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We study the pricing of barrier options on stocks with lumpy dividends. By extending the European option methodology presented in Haug, Haug, and Lewis (2003), we show that in the Black–Scholes model with a single dividend payment, barrier option prices can be expressed in terms of well‐behaved one‐dimensional integrals that can be evaluated very rapidly. With multiple dividend payments, the price integrals are more involved, but we show that for the down‐and‐out call option a simple approximation method gives accurate results. Copyright © 2009 Wilmott Magazine Ltd

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Pricing and upper price bounds of relax certificates

2010

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Relax certificates are written on multiple underlying stocks. The payoff depends on a barrier condition such that it is path-dependent. So long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at maturity which depends on the lowest stock return. Thus, the products consist of a knock-out coupon bond and a knockin minimum option. In a Black-Scholes model setup, the price of the knock-out part can be given in closed (or semi-closed) form in the case of two underlyings, but not for more than two. Without considering the trivial case of one underlying, the price of the knock-in minimum option is to be calculated numerically. Alternatively to exact pricing, we derive semi-closed form upper price bounds. These bounds are the lowest upper price bounds which can be derived without the usage of numerical methods. In addition, the bounds are especially tight with respect to the market convention that the certificates are traded at a discount of the corresponding coupon bond. This is also illustrated with market data.

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Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Cited by 5 publications

References 3 publications

The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates

The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates

Barrier options and lumpy dividends

Pricing and upper price bounds of relax certificates

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