In this thesis we investigate the phenomenon of overpricing in the OTC-derivatives market. We identify a particular set of plain vanilla OTC-traded derivatives in the European equity derivatives market and try to measure their fair price, in order to detect possible overpricing. To this end, we will calculate the volatility, which cannot be observed directly. Our approach will be to retrieve the implied volatility of EUREX-traded stock options with the same underlying as the derivatives we analyze. However, due to maturity and strike price mismatches, we will implement an interpolation algorithm that calculates an implied volatility surface, in order to obtain the volatility values for the specific maturities of our set of OTC-derivatives. With these values, we can calculate a reliable price of the OTC-warrants and determine the mispricing. Finally, we will examine the degree and nature of the mispricing, inspecting whether this is related to some particular features of the underlying. This study reveals very different outcomes depending on the considered underlying asset: in some cases the OTC derivatives are underpriced, in other cases they are overpriced.     «

In this thesis we investigate the phenomenon of overpricing in the OTC-derivatives market. We identify a particular set of plain vanilla OTC-traded derivatives in the European equity derivatives market and try to measure their fair price, in order to detect possible overpricing. To this end, we will calculate the volatility, which cannot be observed directly. Our approach will be to retrieve the implied volatility of EUREX-traded stock options with the same underlying as the derivatives we ana...     »