富时100加速益票据定价.pdfVIP

Pricing FTSE 100 Accelerated Returns Note By Yangyang Cai Under the Supervision of Professor Son-nan Chen Shanghai Advanced Institute of Finance Shanghai Jiaotong University May 2012 Contents Abstract(English) i Abstract(Chinese) ii Chapter 1 Introduction 1 1.1 what is structured note 1 1.2 Type of option involved in FTSE 100 Accelerated returns note 2 1.3 Equivalent martingale measure method 3 1.4 The construction of this paper 4 Chapter 2 FTSE 100 Accelerated Returns Note 5 2.1 Terms of the note 5 2.2 Examples of potential returns 7 2.3 FTSE 100 Index 7 2.4 Tax on FTSE 100 Accelerated returns note 8 Chapter 3 Closed-form solution of FTSE 100 Accelerated returns note 9 3.1 Modeling the FTSE 100 Accelerated Returns Note 9 3.2 Pricing Lookback option 12 3.3 log-normal distributions approximation of arithmetic means 14 3.4 Initial Index Level, Investment Period, risk-free interest rate and index volatility 18 3.5 Calculation of value of FTSE 100 Acceleration returns note 19 Chapter 4 Verification of the correction of closed-form formula using Monte Carlo Simulation 20 4.1 Monte Carlo simulation 20 4.2 Why we use Monte Carlo simulation to verify the correction of approximated closed-form formula 21 4.3 Verification the value of Average Option and Lookback Option using Monte Carlo simulation 21 Chapter