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

Professorship/Faculty: Banking and Financial Control  
Author(s): Muck, Matthias
Title of the Journal: The Journal of Derivatives : the official publication of the International Association of Financial Engineers
Publisher Information: New York, NY : Institutional Investor
Year of publication: 2006
Volume: 14
Issue: 1
Pages: 82-96
Illustrations: Diagramme
Year of first publication: 2006
Language(s): English
DOI: 10.3905/jod.2006.650200
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.
Peer Reviewed: Ja
International Distribution: Ja
Document Type: Article
URI: https://fis.uni-bamberg.de/handle/uniba/475
Year of publication: 15. November 2012