Abstract
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.
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Grünbichler, A., Wohlwend, H. The Valuation of Structured Products: Empirical Findings for the Swiss Market. Fin Mkts Portfolio Mgmt 19, 361–380 (2005). https://doi.org/10.1007/s11408-005-6457-3
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DOI: https://doi.org/10.1007/s11408-005-6457-3