26 lines
1.2 KiB
Plaintext
26 lines
1.2 KiB
Plaintext
608 Part V: Index Options and Future;
|
|
FIGURE 32-4.
|
|
Comparison of adiusted and unadiusted cash values at maturity.
|
|
50
|
|
40
|
|
20
|
|
0 1100 2200 3300
|
|
Cost of the
|
|
Call Option
|
|
4400 5500
|
|
Index Final Price (Unadjusted)
|
|
6600
|
|
est. In this section, a couple of different constructs, ones that have been brought to
|
|
the public marketplace in the past, are discussed.
|
|
THE BUI.I. SPREAD
|
|
Several structured products have represented a bull spread, in effect. In some cases,
|
|
the structured product terms are stated just like those of a call spread in that the final
|
|
cash value is defined with both a minimum and a maximum value. For example, it
|
|
might be described something like this:
|
|
"The final cash value of the (structured) product is equal to a minimum of a base
|
|
price of 10, plus any appreciation of the underlying index above the striking price,
|
|
subject to a maximum price of 20" (where the striking price is stated elsewhere).
|
|
It's fairly simple to see how this resembles a bull spread: The worst you can do
|
|
is to get back your $10, which is presumably the initial offering price, just as in any
|
|
of the structured products described previously in this chapter. Then, above that,
|
|
you'd get some appreciation of the index price above the stated striking price - again |