Munich Personal RePEc Archive

RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy

Tan, Zekuang (2017): RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy. Published in:

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Abstract

This paper will compute the value of the RBC financial derivative-RBC LiONS™ S&P 500 Buffered Protection Securities (USD), Series 4 by utilizing the Black-Scholes Option Pricing Model. In order conduct a thorough analysis of the securities, the paper will compare the model value with the actual price at which the security was issued and the price at which it was traded. This model will help establish a recommended strategy for the issuing company to hedge the liability incurred by the security issued, and provide a possible hedging strategy for the investors.

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