This article analyses the valuation of 192 structured products without a capital guarantee. In contrast to similar studies, this investigation takes in both the primary and the secondary market. Its central element is a comparison of the implied volatilities of the options contained in the...

This article analyses the valuation of 192 structured products without a capital guarantee. The investigation takes in both the primary and secondary markets. Its central element is a comparison of the implied volatilities of the options contained in the structured products with those of...

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...

This article discusses the income tax attractiveness of a private investment in zero bonds under the Swiss legislation. The advantageous tax deferral effect of an investment in a zero bond for a private investor is calculated using various static interest structures and it is shown that the tax...

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...