Matches in SemOpenAlex for { <https://semopenalex.org/work/W1559903130> ?p ?o ?g. }
Showing items 1 to 49 of
49
with 100 items per page.
- W1559903130 abstract "This paper examines the pricing of (multi-) barrier reverse convertibles in the Swiss market. These structured products with exotic characteristics have a knock-in feature and are usually specified as 'worst of' products. The daily closing prices of 522 products between July 2006 and August 2007 are compared to their theoretical values based on Monte Carlo simulations. This investigation takes in both the primary and the secondary market. In the primary market, the study reveals large implicit premiums in favor of the issuing banks. For the secondary market, the product life cycle turns out to be a decisive pricing parameter, as pricing errors clearly decrease during the product life cycle. The expectation of the issuers regarding the order flow might be an explanation for this phenomenon. This hypothesis is supported by our observation of declining liquidity during the life cycle. Moreover, we clearly observe differences in the pricing behavior of the various issuers in the primary market as well as across the life cycle." @default.
- W1559903130 created "2016-06-24" @default.
- W1559903130 creator A5002159401 @default.
- W1559903130 creator A5060472997 @default.
- W1559903130 date "2008-01-01" @default.
- W1559903130 modified "2023-10-16" @default.
- W1559903130 title "Pricing (Multi-) Barrier Reverse Convertibles" @default.
- W1559903130 cites W1966457178 @default.
- W1559903130 cites W1985159746 @default.
- W1559903130 cites W1997026983 @default.
- W1559903130 cites W2010842653 @default.
- W1559903130 cites W2013214971 @default.
- W1559903130 cites W2063092691 @default.
- W1559903130 cites W2093158012 @default.
- W1559903130 cites W2117178635 @default.
- W1559903130 cites W2127575488 @default.
- W1559903130 cites W3123160823 @default.
- W1559903130 doi "https://doi.org/10.2139/ssrn.1160297" @default.
- W1559903130 hasPublicationYear "2008" @default.
- W1559903130 type Work @default.
- W1559903130 sameAs 1559903130 @default.
- W1559903130 citedByCount "11" @default.
- W1559903130 countsByYear W15599031302013 @default.
- W1559903130 countsByYear W15599031302015 @default.
- W1559903130 countsByYear W15599031302017 @default.
- W1559903130 countsByYear W15599031302018 @default.
- W1559903130 countsByYear W15599031302021 @default.
- W1559903130 crossrefType "journal-article" @default.
- W1559903130 hasAuthorship W1559903130A5002159401 @default.
- W1559903130 hasAuthorship W1559903130A5060472997 @default.
- W1559903130 hasConcept C144133560 @default.
- W1559903130 hasConceptScore W1559903130C144133560 @default.
- W1559903130 hasLocation W15599031301 @default.
- W1559903130 hasOpenAccess W1559903130 @default.
- W1559903130 hasPrimaryLocation W15599031301 @default.
- W1559903130 hasRelatedWork W1491839574 @default.
- W1559903130 hasRelatedWork W1947684173 @default.
- W1559903130 hasRelatedWork W2586531396 @default.
- W1559903130 hasRelatedWork W2596173151 @default.
- W1559903130 hasRelatedWork W2624733068 @default.
- W1559903130 hasRelatedWork W2765153054 @default.
- W1559903130 hasRelatedWork W2931838652 @default.
- W1559903130 hasRelatedWork W3168296622 @default.
- W1559903130 hasRelatedWork W4231340554 @default.
- W1559903130 hasRelatedWork W2051331738 @default.
- W1559903130 isParatext "false" @default.
- W1559903130 isRetracted "false" @default.
- W1559903130 magId "1559903130" @default.
- W1559903130 workType "article" @default.