富时100加速收益票据定价-金融学专业论文.docx

Contents HYPERLINK \l _bookmark0 Abstract(English) i HYPERLINK \l _bookmark1 Abstract(Chinese) ii HYPERLINK \l _bookmark2 Chapter 1 Introduction 1 HYPERLINK \l _bookmark3 what is structured note 1 HYPERLINK \l _bookmark4 Type of option involved in FTSE 100 Accelerated returns note 2 HYPERLINK \l _bookmark5 Equivalent martingale measure method 3 HYPERLINK \l _bookmark6 The construction of this paper 4 HYPERLINK \l _bookmark7 Chapter 2 FTSE 100 Accelerated Returns Note 5 HYPERLINK \l _bookmark8 Terms of the note 5 HYPERLINK \l _bookmark9 Examples of potential returns 7 HYPERLINK \l _bookmark10 FTSE 100 Index 7 HYPERLINK \l _bookmark11 Tax on FTSE 100 Accelerated returns note 8 HYPERLINK \l _bookmark12 Chapter 3 Closed-form solution of FTSE 100 Accelerated returns note 9 HYPERLINK \l _bookmark13 Modeling the FTSE 100 Accelerated Returns Note 9 HYPERLINK \l _bookmark14 Pricing Lookback option 12 HYPERLINK \l _bookmark15 log-normal distributions approximation of arithmetic means 14 HYPERLINK \l _bookmark16 Initial Index Level, Investment Period, risk-free interest rate and index HYPERLINK \l _bookmark16 volatility 18 HYPERLINK \l _bookmark17 Calculation of value of FTSE 100 Acceleration returns note 19 HYPERLINK \l _bookmark18 Chapter 4 Verification of the correction of closed-form formula using Monte HYPERLINK \l _bookmark18 Carlo Simulation 20 HYPERLINK \l _bookmark19 Monte Carlo simulation 20 HYPERLINK \l _bookmark20 Why we use Monte Carlo simulation to verify the correction of HYPERLINK \l _bookmark20 approximated closed-form formula 21 HYPERLINK \l _bookmark21 Verification the value of Average Option and Lookback Option using HYPERLINK \l _bookmark21 Monte Carlo simulation 21 HYPERLINK \l _bookmark22 Chapter 5 sensitivity analysis and discussion 24 HYPERLINK \l _bookmark23 The economic environment in UK and world in recent years 24 HYPERLINK \l _bookmark24 Interest rate environment in UK 24 HYPERLINK \l _bookmark25