Contingent claim valuation of express certificates
Banking and Finance Review
In this paper we introduce a new financial product named Express Certificates and we provide detailed descriptions of the product specifications. We show that the payoff of an Express Certificate can be duplicated by the combination of a zero coupon bond, a cash-or-nothing call option on the index and a put option on the index. We develop a pricing formula to price the certificates. Finally, we apply the pricing model for Express Certificates to a certificate issued by Bayerische Hypo- und Vereinsbank AG to examine how well the model fits empirical data. The results are in line with previous studies pricing other structured products. JEL classification: G13; G24. © 2010, Banking and Finance Review.
Hernandez, Rodrigo; Tobler, Christopher; and Brusa, Jorge, "Contingent claim valuation of express certificates" (2010). Business Faculty Publications. 160.