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Outperformance-Zertifikate auf Aktienindizes in Fremdwährungsräumen
Wilkens, Marco | Entrop, Oliver | Scholz, Hendrik
Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 4 : pp. 473–504
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Marco Wilkens, Ingolstadt
Oliver Entrop, Ingolstadt
Hendrik Scholz, Göttingen
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Abstract
Stock Index-related Outperformance Certificates in Foreign Currency Areas
Certificates that relate to international stock indices, but are not subject to exchange- rate variations offer investors a level of performance that may be noticeably higher than the underlying index concerned. This article analyses the presumed attractiveness of outperformance certificates from a euroland point of view within the framework of a generalised Black/Scholes/Merton world. Where the interest rate differential between the respective currency areas is positive, investors ultimately renounce the anticipated (positive) exchange rate value development in the case of certificates not subject to exchange rate risks compared with like certificates that are liable to exchange rate variations, which accounts for the lower value of the certificates not subject to exchange rate variations and explains why the multiplyer is higher than one. The interest rate differential, the dividend yield, the stock index yield volatilities and the exchange rate variations as well as the correlations among all of them represent special price determinants of these innovative financial products that can also be used for purposes of international diversification.