Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems

Posted: 2 Apr 2001

See all articles by Simon Benninga

Simon Benninga

Tel Aviv University - Faculty of Management

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

Benninga, Simon, Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems (March 2001). Available at SSRN: https://ssrn.com/abstract=264950

Simon Benninga (Contact Author)

Tel Aviv University - Faculty of Management ( email )

P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972-3-640-6317 (Phone)
+972-2-673-4675 (Fax)

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