Where Should You Buy Your Options? : The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany
|Professorship/Faculty:||Banking and Financial Control|
|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|
|Year of first publication:||2006|
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.
|Year of publication:||15. November 2012|