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DER 09.2 Products and strategies: Stock index options

Valuation models show how stock index options can be used to structure various types of index products such as protected equity notes and portfolio insurance.

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• Required reading

  • Whaley, 2006 Ch. 14 Stock index products: Futures and options

  • Whaley, 2006 Ch. 15 Stock index products: Strategy-based

  • Bollen and Whaley 2004 Does net buying pressure affect the shape of implied volatility functions? JF

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• Lecture notes

  • Slides

  • Supporting files​

    • Portfolio insurance.xlsx

    • Protected equity notes.xlsx

    • HSBC Buffered return enhanced note.xlsx

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