Innovative Turbo-Zertifikate am deutschen Kapitalmarkt - Preisstellung, Bewertung, Hedging und Gewinnpotenzial
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Innovative Turbo-Zertifikate am deutschen Kapitalmarkt - Preisstellung, Bewertung, Hedging und Gewinnpotenzial
Scholz, Hendrik | Baule, Rainer | Wilkens, Marco
Credit and Capital Markets – Kredit und Kapital, Vol. 38 (2005), Iss. 1 : pp. 87–116
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Hendrik Scholz, Ingolstadt
Rainer Baule, Göttingen
Marco Wilkens, Ingolstadt
References
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Abstract
An overview shows the enormous success of turbo certificates at the German retail market. This article is concerned with the valuation and analysis of these innovative financial instruments. In doing so we focus on the recently disclosed pricing formulas of some issuers during the lifetimes of the products from issuance to maturity. Furthermore, we analyse a simple hedging strategy which shows the potential gains for the issuers depending on the turbo certificates’ lifetimes.