Where Should You Buy Your Options? : The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany

With the expansion of electronic exchanges and the nearly universal access to the Internet, it has become possible for retail investors to buy and sell exchange-traded derivative contracts from their desktops. In Europe this ability has even been extended to allow small investors to purchase over-the-counter exotic option contracts through the Internet. In this article, Muck analyzes the pricing of a variety of web-traded exotic instruments, available in this „market.” As one would expect, the contracts are overpriced on average, relative to theoretical valuations based on exchange-traded options on the same underlying DAX index. A second hypothesis, that overpricing diminishes as the contracts approach maturity receives a little less support.

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Fakultät / Lehrstuhl:Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling
Autor(en): Matthias Muck
Titel der Zeitschrift/Sammelwerk (English):The Journal of Derivatives : the official publication of the International Association of Financial Engineers
Place of publication:New York, NY
Publisher:Institutional Investor
Ausgabe/Heft:14 (2006), 1
Seitenzahl / Größe (KB):S. 82 - 96 : graph. Darst.
Jahr der Erstpublikation / Fertigstellung:2006
Document Type:Artikel in einer Zeitschrift / Postprint
Licence (German):License LogoKeine Lizenz