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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Institutes:Fakultät Sozial- und Wirtschaftswissenschaften / Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling
Author:Matthias Muck
Title of the journal / compilation (English):The Journal of Derivatives : the official publication of the International Association of Financial Engineers
Place of publication:New York, NY
Publisher:Institutional Investor
Year of publication:2006
Issue:14 (2006), 1
Pages / Size:S. 82 - 96 : graph. Darst.
Year of first publication:2006
Document Type:Article in a journal
Publishing Institution:Otto-Friedrich-Universität Bamberg
Release Date:2012/11/15
Licence (German):License LogoKeine Lizenz