Structured Product＇s Hidden Value  

作　　者：Tumellano Sebehela 

机构地区：[1]University of Reading, UK

出　　处：《Journal of Modern Accounting and Auditing》2012年第6期891-899,共9页现代会计与审计（英文版）

摘　　要：This empirical study explores Can-Do structured products engineered by Johannesburg Securities Exchange （JSE） of South Africa around June 2006. However, as time evolved, different types of Can-Do structured products were developed. Can-Do structured product, called XFWQ, is used as an example in this empirical study. As previous empirical studies by Georgieva （2005） and Subandh （2007） have confirmed that there are embedded exotic options within structured products that generally make these products to be expensive, and in most cases less profitable compared with plain-vanilla assets, the empirical study confirmed that there is an embedded shout option with the Can-Do structured product. Furthermore, the empirical study shows that there is extra value to the structured product indicated by European long call option that does not accrue to the investors when time of expiration reaches maturity.

关 键 词：Black-Scholes （1973）＇s model can-do product shout option 

分 类 号：F832.5[经济管理—金融学] X22[环境科学与工程—环境科学]