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...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.展开更多
文摘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.
