Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091665 | Journal of Banking & Finance | 2005 | 23 Pages |
Abstract
Based on a unique data set, this paper examines the pricing of equity-linked structured products in the German market. The daily closing prices of a large variety of structured products are compared to theoretical values derived from the prices of options traded on the Eurex (European Exchange). For the majority of products, the study reveals large implicit premiums charged by the issuing banks in the primary market. A set of driving factors behind the issuers' pricing policies is identified, for example, underlying and type of implicit derivative(s). For the secondary market, the product life cycle is found to be an important pricing parameter.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pavel A. Stoimenov, Sascha Wilkens,