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Principal-Protected Equity-Linked Note

通常価格 ¥1,078 JPY
通常価格 セール価格 ¥1,078 JPY
セール 売り切れ
税込み。
書籍サイズ
ページ数

The case puts students in the shoes of a private banker who wants to price a structured note for European high net worth clients with low levels of risk tolerance. The principal-protected equity-linked note (PP-ELN) provides investors with fixed income-like principal protection together with upside exposure to the S&P 500 Index. The students are asked how the bank should allocate the client's money to buy call options and invest in zero-coupon bonds to deliver this PP-ELN and still earn a fee. By adjusting the amount of principal protection or capping the upside potential, the students can calculate whether there is an opportunity for increased upside participation. This financial engineering case can be used to teach put-call parity, option strategies, and Black-Scholes pricing.

【書誌情報】

ページ数:5ページ

サイズ:A4

商品番号:HBSP-UV7125

発行日:2016/3/10

登録日:2016/4/5

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