The Pricing of Structured Products in the Swiss Market

17 Pages Posted: 18 Dec 2001  

Hanspeter Wohlwend

Notenstein Private Bank Ltd.

Stefan Burth

RMF Investment Group

Thomas Kraus

Kraus Partners Investment Solutions

Multiple version iconThere are 2 versions of this paper

Date Written: May 2001

Abstract

Securitized covered call writing strategies play an important role in the Swiss market. The authors analyze the initial pricing of 275 products by comparing them to equivalent strategies in the underlying markets and at EUREX. On average, price distortions in favor of the issuing institutions compensate them for efforts associated with the management of the structured products. There are differences in the pricing behavior of several issuers. The pricing differs in terms of average pricing errors but also in the corresponding dispersions. There are significant pricing differences between products paying a fixed coupon and those without such a coupon. Finally, the authors document the important role of co-lead managers in the case of new issues.

Suggested Citation

Wohlwend, Hanspeter and Burth, Stefan and Kraus, Thomas, The Pricing of Structured Products in the Swiss Market (May 2001). Available at SSRN: https://ssrn.com/abstract=294286 or http://dx.doi.org/10.2139/ssrn.294286

Hanspeter Wohlwend (Contact Author)

Notenstein Private Bank Ltd. ( email )

Bohl 17
St.Gallen, CH-9004
Switzerland

Stefan Burth

RMF Investment Group ( email )

Huobstrasse 16
8808 Pfaeffikon SZ
Switzerland
+41 55 415 87 00 (Phone)
+41 55 415 87 07 (Fax)

Thomas Kraus

Kraus Partners Investment Solutions ( email )

Militaerstrasse 76
CH-8004 Zurich
Switzerland
+41 44 267 1500 (Phone)
+41 44 267 1501 (Fax)

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