Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems
Posted: 2 Apr 2001
Date Written: March 2001
Abstract
In January 2001, UBS issued a security containing an embedded put on Cisco written by the purchaser. The case analyzes this security. It allows the instructor to discuss: The implicit value of the put in the security versus the Black-Scholes value, the expected return on the security, using the security to create a risk-free asset, and (of course) the valuation of the security.
A written solution and an accompanying spreadsheet are available.
Suggested Citation: Suggested Citation
Benninga, Simon, Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems (March 2001). Available at SSRN: https://ssrn.com/abstract=264950
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