Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Antje Mahayni and Michael Suchanecki ()

Bonn Econ Discussion Papers from University of Bonn, Germany

Abstract: Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts. If the barrier level is equal to the strike, the upper price bound of a Turbo-Long-Certificate coincides with the value of a forward contract. Therefore, in the case of a Turbo-Short-Certificate, the forward implies only a lower price bound. It is shown that in general, the issuer can neither hedge a single certificate nor a portfolio of certificates without using standard options.

Keywords: Turbo-Zertifikate; Put-Call-Symmetrie; Static Hedging; Barrier-Optionen; Produktdesign (search for similar items in EconPapers)
JEL-codes: G10 G13 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-04
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