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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title The Mispricing in the Structured Products Market - An Empirical Analysis for Switzerland
Organization Unit
Authors
  • Thierry Bessire
Supervisors
  • Jordy Rillaerts
  • Markus Leippold
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 56
Date 2022
Abstract Text Based on last best bid prices this thesis examines the fairness of quoted prices in the secondary market for Swiss structured products. The theoretical fair price is derived from a model price replicating the payoff structure of the analysed structured product. Most of the analysed product types are observed to be priced with an implicit premium. Competition among issuers, time to maturity, complexity of the product and the underlying type are found to impact the degree of mispricing on the secondary market for structured products in Switzerland.
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