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:Fakultät Sozial- und Wirtschaftswissenschaften / Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling
Autor(en):Matthias Muck
Titel der Zeitschrift/Sammelwerk (Englisch):The Journal of Derivatives : the official publication of the International Association of Financial Engineers
Verlagsort:New York, NY
Verlag:Institutional Investor
Ausgabe/Heft:14 (2006), 1
Seitenzahl / Größe (KB):S. 82 - 96 : graph. Darst.
Jahr der Erstpublikation / Fertigstellung:2006
Dokumentart:Artikel in einer Zeitschrift / Postprint
Veröffentlichende Institution:Otto-Friedrich-Universität Bamberg
Datum der Freischaltung:15.11.2012
Lizenz (Deutsch):License LogoKeine Lizenz

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