Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European Monetary Union. Variance decompositions, cluster analyses, and principle component...

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...

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...

Using a principal component analysis we investigate the dynamic relations within the term structure of volatilities implied in options on the Swiss Market Index (SMI). It is shown that approximately 99% of the over-all variation of the term structure can be explained by three independent state...