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- Title
Structured Notes: An Application of the Binomial Option Pricing Model.
- Authors
Graham, Jeffrey; Langevin, Eric; Richie, Nivine
- Abstract
We use structured notes with their embedded options in an undergraduate or masters level derivatives course to allow students to apply option pricing theory to publicly available data. We focus on equity-linked securities because of the straightforward nature by which embedded options can be valued using the binomial option pricing model (BOPM). A description of structured notes is followed by learning objectives and an outline of the assignment. Teaching notes that include a tutorial on the binomial option pricing model and an excel-based solution to the project are available upon request.
- Subjects
MICROECONOMICS; UNDERGRADUATES; SECURITIES
- Publication
Journal of Financial Education, 2019, Vol 45, Issue 2, p15
- ISSN
0093-3961
- Publication type
Article