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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 |
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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. |
PDF File | Download |
Export | BibTeX |