17 Pages Posted: 18 Dec 2001
Date Written: May 2001
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: 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