The Valuation of Structured Products: Empirical Findings for the Swiss Market

Andreas Grünbichler () and Hanspeter Wohlwend ()

Financial Markets and Portfolio Management, 2005, vol. 19, issue 4, 380 pages

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. Copyright Swiss Society for Financial Market Research 2005

Keywords: structured products; implied volatility; valuation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (24)

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DOI: 10.1007/s11408-005-6457-3

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