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The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates
7 references·13 citing·35 second hop
The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates (2006)The pricing of leverage products: An empi…Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments (2005)Are structured products ‘fair…The Pricing of Structured Products in Germany (2003)The Pricing of Structured Pro…STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Breaking down the barriers (1996)Breaking down the barriersThe impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Pre-trade hedging: Evidence from the issuance of retail structured products (2020)Pre-trade hedging: Evidence f…A note on receptiveness to loss in structured Investment (2017)A note on receptiveness to lo…The Demand for Warrants and Issuer Pricing Strategies (2014)The Demand for Warrants and I…Can utility optimization explain the demand for structured investment products? (2013)Can utility optimization expl…Empirical performance of models for barrier option valuation (2012)Empirical performance of mode…The Pricing of Path-Dependent Structured FinancialRetail Products: The Case of Bonus Certificates (2011)The Pricing of Path-Dependent…The order flow of discount certificates and issuer pricing behavior (2011)The order flow of discount ce…Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland (2009)Market Pricing of Exotic Stru…Endless leverage certificates (2009)Endless leverage certificatesThe price-setting behavior of banks: An analysis of open-end leverage certificates on the German market (2008)The price-setting behavior of…The Optimal Demand for Retail Derivatives (2008)The Optimal Demand for Retail…Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland (2008)Market Pricing of Exotic Stru…Stated and Revealed Investment Decisions Concerning Structured Products (2007)Stated and Revealed Investmen…Parsimonious Modeling of Yield Curves (1987)Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)How does pricing affect investors’ product choice? Evidence from the market for discount certificates (2016)Engineering lemons (2021)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Pricing Black-Scholes options with correlated credit risk (1996)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)Theory of Rational Option Pricing (1973)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)Theory of rational option pricing (2005)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)What Drives Financial Complexity? A Look into the Retail Market for Structured Products (2013)Theory of games and economic behavior (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometric Models and Economic Forecasts (1990)The Valuation of Structured Products: Empirical Findings for the Swiss Market (2005)Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates (2008)Reverse convertible bonds analyzed (2009)“Options, Futures, and Other Derivatives” (2016)Options on the minimum or the maximum of two risky assets (1982)Investment horizon and the attractiveness of investment strategies: A behavioral approach (2009)Multivariate downside risk: Normal versus Variance Gamma (2011)The valuation of American barrier options using the decomposition technique (2000)Robust Hedging of Barrier Options (2001)Pricing and Hedging Volatility Derivatives (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited
  • 2005Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments168 cited
  • 2003The Pricing of Structured Products in Germany119 cited
  • 1996Breaking down the barriers10 cited

Cited by

  • 2013Can utility optimization explain the demand for structured investment products?56 cited
  • 2009Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland54 cited
  • 2011The order flow of discount certificates and issuer pricing behavior51 cited
  • 2008The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market43 cited
  • 2011The Pricing of Path-Dependent Structured FinancialRetail Products: The Case of Bonus Certificates38 cited
  • 2008Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland32 cited
  • 2008The Optimal Demand for Retail Derivatives28 cited

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2014
The Demand for Warrants and Issuer Pricing Strategies
25 cited
  • 2020Pre-trade hedging: Evidence from the issuance of retail structured products23 cited
  • 2009Endless leverage certificates23 cited
  • 2012Empirical performance of models for barrier option valuation21 cited
  • 2007Stated and Revealed Investment Decisions Concerning Structured Products7 cited
  • 2017A note on receptiveness to loss in structured Investment1 cited