| Autor: |
Avdiu, Kujtim, Unger, Stephan |
| Předmět: |
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| Zdroj: |
Journal of Risk & Financial Management; Sep2023, Vol. 16 Issue 9, p401, 14p |
| Abstrakt: |
This article analyzes the implicit hedging and liquidity costs of structured equity products offered by various financial institutions. We replicate several payoffs of structured products, compare the calculated fair values based on the Heston model as well as geometric Brownian motion, using various optimization techniques, and compare their fair values with the historic prices traded in the market. We find that implicit hedging costs range between 0.9% and 2.9% markup on the fair value, where we find the underlying market volatility to be the relevant driver of this range for complex structures, while market liquidity can be extracted as the only driver of markups for simple structures with no hedging requirements. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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