Structured product analysis : 95% capital protection note with digital coupons on SD3E®

This dissertation provides a comprehensive analysis of the structured product "95% Capital Protection Note with Digital Coupons on SD3E®" issued by Haitong Investment Ireland. It contributes to a better understanding of structured products, their characteristics, and how to price them. The aim of this work is to deeply explore this product by clearly identifying its risks, advantages, and disadvantages for both investors and the issuer. Additionally, it explains the characteristics of the product and breaks it down into simpler components. Furthermore, this dissertation applies three different models to value the structured product: Monte Carlo Simulation, Binomial Tree model, and Black-Scholes formula. While Black-Scholes formula was not successfully implemented given the characteristics of the product, the other two approaches led to results slightly different from each other. This dissertation incorporates some additional topics such as the analysis of the product's memory feature or the calculation of the profitability associated with the structured product. Indeed, the memory feature makes the instrument more expensive and both investor and issuer are expected to profit with the product acquisition and issuance, respectively. Furthermore, I demonstrate the convergence of Binomial Model relatively to the Black-Scholes formula.