Where Should You Buy Your Options? : The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany
Professorship/Faculty: | Banking and Financial Control |
Authors: | 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 / Size: | 82 - 96 : graph. Darst. |
Year of first publication: | 2006 |
Language(s): | English |
DOI: | 10.3905/jod.2006.650200 |
Document Type: | Article |
Abstract: | 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 |
URI: | https://fis.uni-bamberg.de/handle/uniba/475 |
Release Date: | 24. September 2012 |