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| Tekijä: | Abad, D. Nieto, B. |
| Otsikko: | Analysing bank-issued option pricing |
| Lehti: | European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P. 49-65 |
| Asiasana: | options banks prices |
| Vapaa asiasana: | market design Spanish |
| Kieli: | eng |
| Tiivistelmä: | The paper focusees on bank-issued options (warrants) trade under a fair price. The analysis is twofold. Price differences between traditional options and equivalent bank-issued options are analysed.The author expound that bank-issued options are systematically overpriced with respect to options and that an important portion of such overpricing is related to market design. We also compare the prices of bank-issued options that have the same payoff functions but different issuers and relative price differences between bank-issued options are also found. Moreover, the analysis of the temporal evolution of the price differences between equivalent bank-issued options reveals that they are not decreasing over time.. |
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