RT Journal Article
SR Electronic
T1 Where Should You Buy Your Options? The Pricing of Exchange-Traded Certificates and OTC Derivatives in Germany
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 82
OP 96
DO 10.3905/jod.2006.650200
VO 14
IS 1
A1 Matthias Muck
YR 2006
UL https://pm-research.com/content/14/1/82.abstract
AB With the expansion of electronic exchanges and the nearly universal access to the Internet, it has become possible for retail investors to buy and sell exchange-traded derivative contracts from their desktops. In Europe this ability has even been extended to allow small investors to purchase over-the-counter exotic option contracts through the Internet. In this article, Muck analyzes the pricing of a variety of web-traded exotic instruments, available in this „market.” As one would expect, the contracts are overpriced on average, relative to theoretical valuations based on exchange-traded options on the same underlying DAX index. A second hypothesis, that overpricing diminishes as the contracts approach maturity receives a little less support.TOPICS: Interest-rates and currency swaps, options