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Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments
3 references·16 citing·29 second hop
Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments (2005)Are structured products ‘fairly’ priced? …The impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Suitability Checks and Household Investments in Structured Products (2015)Suitability Checks and Househ…The performance of individual investors in structured financial products (2014)The performance of individual…Can utility optimization explain the demand for structured investment products? (2013)Can utility optimization expl…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…Multivariate downside risk: Normal versus Variance Gamma (2011)Multivariate downside risk: N…Locally Capped Investment Products and the RetailInvestor (2011)Locally Capped Investment Pro…Reverse convertible bonds analyzed (2009)Reverse convertible bonds ana…Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland (2009)Market Pricing of Exotic Stru…Investment horizon and the attractiveness of investment strategies: A behavioral approach (2009)Investment horizon and the at…The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market (2008)The price-setting behavior of…Optimal portfolio selection for the small investor considering risk and transaction costs (2008)Optimal portfolio selection f…Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland (2008)Market Pricing of Exotic Stru…Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates (2008)Credit risk and bank margins …The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates (2006)The pricing of leverage produ…The Valuation of Structured Products: Empirical Findings for the Swiss Market (2005)The Valuation of Structured P…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)A Lattice Framework for Option Pricing with Two State Variables (1988)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)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)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)A note on receptiveness to loss in structured Investment (2017)Theory of games and economic behavior (2019)Static Hedging of Exotic Options (1998)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)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)Theory of rational option pricing (2005)Advances in prospect theory: Cumulative representation of uncertainty (1992)Omega performance measure and portfolio insurance (2010)Performance evaluation of optimized portfolio insurance strategies (2014)Omega Performance Measure and Portfolio Insurance (2018)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)Beyond payoff diagrams: how to present risk and return characteristics of structured products (2011)Pre-trade hedging: Evidence from the issuance of retail structured products (2020)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited

Cited by

  • 2006The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates76 cited
  • 2009Investment horizon and the attractiveness of investment strategies: A behavioral approach75 cited
  • 2008Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates64 cited
  • 2005The Valuation of Structured Products: Empirical Findings for the Swiss Market62 cited
  • 2009Reverse convertible bonds analyzed61 cited
  • 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
  • 2014The performance of individual investors in structured financial products53 cited
  • 2011The order flow of discount certificates and issuer pricing behavior51 cited
  • 2011Locally Capped Investment Products and the RetailInvestor51 cited
  • 2008The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market

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43 cited
  • 2011The Pricing of Path-Dependent Structured FinancialRetail Products: The Case of Bonus Certificates38 cited
  • 2008Optimal portfolio selection for the small investor considering risk and transaction costs38 cited
  • 2015Suitability Checks and Household Investments in Structured Products33 cited
  • 2008Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland32 cited
  • 2011Multivariate downside risk: Normal versus Variance Gamma30 cited