Structured Products
Spring 2005
Assignment 10
說明一: assignment 10 共有"5"個pdf檔(包含題目),同學可自教學網站下載.
說明二: assignment 9 負責最後兩個商品(15.16)的同學,上課前也請準備好.
1. Only one new product DM for this week, (No.17 變本加利). Think about
how you would price and hedge this product. You don’t need to actually
do the pricing estimation.
2. Mountain range options”are designed by SG and the two related articles
were published in Risk magazine. Try to read and understand as much as
you can from the two articles. They are not the easiest papers to read
but will give you some ideas of the complexity of structured products and
the related hedging issues.
3. The other article is also on mountain range options, but a more
straightforward description of them. You may want to read this one first
before tackling the other two.
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