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...

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...