The case places students in the shoes of a private banker who would like to price a structured note for European high net-worth customers with low degrees of risk tolerance. The main-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 inquired the way the bank should allocate the client's cash to acquire call options and put money into zero-coupon bonds to deliver this PPELN and still earn a fee. By limiting the upside potential or fixing the quantity of principal protection, the pupils may calculate whether there's a chance for increased upside contribution. This financial engineering case can be used to educate put-call parity, option strategies, and Black-Scholes pricing.
Principal-Protected Equity-Linked Note Case Study Solution
PUBLICATION DATE: March 10, 2016 PRODUCT #: UV7125-PDF-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
Related Case Solutions & Analyses:
Procter & Gamble: Global Business Services
RBC Financial Group–The Equator Principles in Qatargas II LNG Project
Mall of America (A)
Delivering Customer Centricity
Brazos Partners and the Tri-Northern Exit
Note on Responsibility Accounting
Smith Family Financial Plan
Assured Guaranty
Private Equity Finance Vignettes: 2014
Coromandel: Enhancement of Short-Term Finance
