Within the last two years, a new type of structured product has become very popular in the German retail market: Auto Trigger securities. Auto Trigger securities are structured products where, depending on the path of the underlying, the contract can end before the final maturity and a payoff, an early redemption, takes place. This thesis is the first scientific work dealing with these structures. Examples and definitions for these securities are given and closed-form solutions in the Black Scholes model with time dependent parameters are derived. The German retail market for these products is studied and the influence of time dependent volatility on the security price is examined.     «

Within the last two years, a new type of structured product has become very popular in the German retail market: Auto Trigger securities. Auto Trigger securities are structured products where, depending on the path of the underlying, the contract can end before the final maturity and a payoff, an early redemption, takes place. This thesis is the first scientific work dealing with these structures. Examples and definitions for these securities are given and closed-form solutions in the Black Scho...     »