JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
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
Additional Information
Article Details
Author Details
Hendrik Scholz, Ingolstadt
Rainer Baule, Göttingen
Marco Wilkens, Ingolstadt
References
-
ABN AMRO (2002a): Turbo- und Short-Zertifikate. Frankfurt/Main, August.
Google Scholar -
ABN AMRO (2002b): ABN AMRO LaunchPAD Programme - Offering Supplement. Frankfurt/Main, Oktober.
Google Scholar -
ABN AMRO (2003): Turbo- und Short-Zertifikate. Frankfurt/Main, Februar.
Google Scholar -
Baule, Rainer/Rühling, Ralf/Scholz, Hendrik (2004): Zur Preisstellung der Emittenten von Discountzertifikaten - Eine empirische Untersuchung am deutschen Sekundärmarkt, Finanz Betrieb, 6. Jg., H. 12, S. 825-832.
Google Scholar -
Baule, Rainer/Scholz, Hendrik/Wilkens, Marco (2004): Short-Zertifikate auf Indizes -- Bewertung und Analyse eines innovativen Retail-Produktes für Baissephasen, Zeitschrift für Betriebswirtschaft, 74 Jg., H. 4. S. 315-338.
Google Scholar -
Beike, Rolf (1999): Indexzertifikate - optimal vom Börsentrend profitieren. Stuttgart.
Google Scholar -
Black, Fischer/Scholes, Myron (1973): The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, S. 637-654.
Google Scholar -
BNP Paribas (2002): Hebel-Zertifikate. Frankfurt/Main, Oktober.
Google Scholar -
Burth, Stefan/Kraus, Thomas/Wohlwend, Hanspeter (2001): The Pricing of Structured Products in the Swiss Market, Journal of Derivatives, Vol. 9, No. 2, Winter, S. 30-40.
Google Scholar
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.