caa a22 4500 465802842 CHVBK 20180323112056.0 cr unu---uuuuu 170327e19900701xx s 000 0 eng 10.1007/BF00352565 doi (NATIONALLICENCE)springer-10.1007/BF00352565 An analysis of market-index certificates of deposit [Elektronische Daten] [Andrew Chen, John Kensinger] We analyze the new market-index certificates of deposit (MICDs), which pay variable interest pegged to the performance of the Standard and Poor's (S&P) 500 stock market index. The pricing formulas as well as the equilibrium relationship between the participation percentages for both the call-and put-type MICDs are derived and discussed. From the implicit value of the option component we compute implied standard deviations (ISDs) for the market index, and find inconsistencies in the pricing policies of the recent issuers of MICDs. The terms under which "bear” versions are being offered are particularly unattractive, and offering better terms would create new opportunities for the issuers of MICDs. We also analyze the issuer's risk exposure, and discuss the natural as well as the dynamic hedging strategies. Kluwer Academic Publishers, 1990 Chen Andrew Edwin L. Cox School of Business, Southern Methodist University, 75275, Dallas, TX, USA aut Kensinger John College and Graduate School of Business, University of Texas at Austin, 78712-1179, Austin, TX, USA aut Journal of Financial Services Research Kluwer Academic Publishers 4/2(1990-07-01), 93-110 0920-8550 4:2<93 1990 4 10693 https://doi.org/10.1007/BF00352565 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF00352565 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chen Andrew Edwin L. Cox School of Business, Southern Methodist University, 75275, Dallas, TX, USA aut NATIONALLICENCE 700 1- Kensinger John College and Graduate School of Business, University of Texas at Austin, 78712-1179, Austin, TX, USA aut NATIONALLICENCE 773 0- Journal of Financial Services Research Kluwer Academic Publishers 4/2(1990-07-01), 93-110 0920-8550 4:2<93 1990 4 10693 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer