| Abstract | 第1-8页 |
| 摘要 | 第8-9页 |
| Chapter 1 Introduction | 第9-13页 |
| ·what is structured note | 第9-10页 |
| ·Type of option involved in FTSE 100 Accelerated returns note | 第10-11页 |
| ·Equivalent martingale measure method | 第11-12页 |
| ·The construction of this paper | 第12-13页 |
| Chapter 2 FTSE 100 Accelerated Returns Note | 第13-17页 |
| ·Terms of the note | 第13-15页 |
| ·Examples of potential returns | 第15页 |
| ·FTSE 100 Index | 第15-16页 |
| ·Tax on FTSE 100 Accelerated returns note | 第16-17页 |
| Chapter 3 Closed-form solution of FTSE 100 Accelerated returns note | 第17-28页 |
| ·Modeling the FTSE 100 Accelerated Returns Note | 第17-20页 |
| ·Pricing Lookback option | 第20-22页 |
| ·log-normal distributions approximation of arithmetic means | 第22-26页 |
| ·Initial Index Level, Investment Period, risk-free interest rate and index volatility | 第26-27页 |
| ·Calculation of value of FTSE 100 Acceleration returns note | 第27-28页 |
| Chapter 4 Verification of the correction of closed-form formula using Monte Carlo Simulation | 第28-32页 |
| ·Monte Carlo simulation | 第28-29页 |
| ·Why we use Monte Carlo simulation to verify the correction of approximated closed-form formula | 第29页 |
| ·Verification the value of Average Option and Lookback Option using Monte Carlo simulation | 第29-32页 |
| Chapter 5 sensitivity analysis and discussion | 第32-44页 |
| ·The economic environment in UK and world in recent years | 第32页 |
| ·Interest rate environment in UK | 第32-33页 |
| ·FTSE 100 index and its volatility | 第33-34页 |
| ·Structured Note Value versus risk-free rate and volatility | 第34-37页 |
| ·Structured Note Value versus Time to Maturity and Index Level | 第37-42页 |
| ·Discussion | 第42-44页 |
| Chapter 6 Conclusion | 第44-45页 |
| Appendix | 第45-50页 |
| Bibliography | 第50-51页 |
| Acknowledgements | 第51页 |
