RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy

Zekuang Tan ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper will compute the value of the RBC financial derivative-RBC LiONS™ S&P 500 Buffered Protection Securities (USD), Series 4 by utilizing the Black-Scholes Option Pricing Model. In order conduct a thorough analysis of the securities, the paper will compare the model value with the actual price at which the security was issued and the price at which it was traded. This model will help establish a recommended strategy for the issuing company to hedge the liability incurred by the security issued, and provide a possible hedging strategy for the investors.

Keywords: Black-Scholes Model; Delta Hedging; Geometric Brownian Motion; risk-less arbitrage (search for similar items in EconPapers)
JEL-codes: C51 G11 G12 (search for similar items in EconPapers)
Date: 2017-12-16
New Economics Papers: this item is included in nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/83669/1/MPRA_paper_83669.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:83669

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().