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The order flow of discount certificates and issuer pricing behavior
We analyze the order flow of discount certificates, its dependence on product age, and the implications for issuer pricing behavior. Based on a unique data set of exchange trades and issuer quotes,Expand
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Lean Trees - A General Approach for Improving Performance of Lattice Models for Option Pricing
The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculationsExpand
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Lean Trees—A General Approach for Improving Performance of Lattice Models for Option Pricing
The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculationsExpand
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Optimal portfolio selection for the small investor considering risk and transaction costs
TLDR
An empirical study shows that, for smaller investment volumes, transaction costs dominate risk costs so that optimal portfolios contain only a very small number of assets. Expand
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Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates
This study analyzes bank margins in the German secondary market for exchange‐traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural modelExpand
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The Pricing of Path-Dependent Structured FinancialRetail Products: The Case of Bonus Certificates
For no clear reason, many retail investors seem to have an unnatural taste for exotic structured products with payoffs that depend on complex and hard-to-value contingencies. Examples include barrierExpand
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The Demand for Warrants and Issuer Pricing Strategies
We develop a model for the demand of warrants by individual investors with regard to their sensitivity to issuer margins, defined as the relative overpricing with respect to the theoretical value.Expand
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Measuring Idiosyncratic Risks in Leveraged Buyout Transactions
We use a contingent claims analysis model to calculate the idiosyncratic risks in Leveraged Buyout transactions. A decisive feature of the model is the consideration of amortization. From the model,Expand
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Volatility discovery and volatility quoting on markets for options and warrants
In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market informationExpand
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Which Beta is Best? On the Information Content of Option�?Implied Betas
Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently,Expand
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