Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Arbeitspapier

Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts. If the barrier level is equal to the strike, the upper price bound of a Turbo-Long-Certificate coincides with the value of a forward contract. Therefore, in the case of a Turbo-Short-Certificate, the forward implies only a lower price bound. It is shown that in general, the issuer can neither hedge a single certificate nor a portfolio of certificates without using standard options.

Object Details

• Language: Deutsch

References and Relationships

• Bibliographic citation: Series: Bonn Econ Discussion Papers ; No. 8/2005

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Contingent Pricing; Futures Pricing; option pricing
• Subject: Turbo-Zertifikate ; Put-Call-Symmetrie ; Static Hedging ; Barrier-Optionen ; Produktdesign ; Barrier Options ; Produktdesign ; Black-Scholes-Modell ; Optionspreistheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mahayni, Antje ; Suchanecki, Michael
• Event: Veröffentlichung
• (who): University of Bonn, Bonn Graduate School of Economics (BGSE)
• (where): Bonn
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/22914
• Last update: 10.03.2025, 11:43 AM CET