Year of publication
- English (24) (remove)
- Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling (24) (remove)
- Keep on Smiling? Volatility Surfaces and the Pricing of Quanto Options when all Covariances are Stochastic (2009)
- Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market (2009)
- Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates (2013)
- This dissertation analyzes Open-End Turbo Certificates (OETCs), a popular class of retail derivatives. OETCs can be exercised at any time at the investor’s discretion. In order to explain the existence of the certificates jump risk must be considered. We propose and implement an optimal stopping approach to price these securities, which further allows for determining optimal exercise thresholds. They result from the trade-off between benefits from downward jump protection and financing costs. We show that early exercise right has a significant impact on their values. In an empirical analysis pertaining to the years 2007 through 2009 it turns out that certificates which could be rationally held are very rare, although the degree by which the underlying exceeds the optimal exercise thresholds continually declines over the considered period. We suggest three lines of explanation: general market movement, jump risk perception by the market, and increased competition among issuers.
- Pricing Turbo Certificates in the Presence of Stochastic Jumps, Interest Rates, and Volatility (2007)