exotics - Yearend Value One Yr Ret Cum Pos Ret 2004 110.88...

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0.05 Exotic Options Notes 0.02 0.59 Plain Vanilla vs. Knockout return breakeven 1.15    year 1 71.71% 62.36% 1    year 2 68.30% 59.39% 2    year 3 65.05% 56.56% 3    year 4 61.95% 53.87% 4    year 5 59.00% 51.30% 5 Lookback Index Decline in Year 1 0.94 1.15 Plain Index in 5 years -5.00% -10.00% -15.00% Vanilla 120 24.7% 31.3% 38.7% 23.00% 140 44.5% 52.2% 60.8% 46.00% 160 64.3% 73.1% 82.9% 69.00% 180 84.1% 94.0% 105.1% 92.00% 200 103.9% 114.9% 127.2% 115.00% 250 153.4% 167.1% 182.5% 172.50% 300 202.8% 219.3% 237.8% 230.00% 144.00% of the avg 48.00% yr3+yr4+yr5 115.00% yr5 alone 48.00% yr3+yr4        versus 67.00% yr5 alone Reset
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Unformatted text preview: Yearend Value One Yr Ret Cum Pos Ret 2004 110.88 10.88% 10.88% 2005 116.32 4.91% 15.79% 2006 134.69 15.79% 31.58% 2007 142.09 5.49% 37.07% 2008 87.40-38.49% 37.07% Reset Payoff 27.06% Vanilla Payoff 0.00% Outperformance Option AAPL vs SP 500 Inputs AAPL shortfall SP 500 shortfall Stock Price 100.2 Cost of financing 1.75% LIBOR 1.50% AAPL div yield 0.00% SP500 div yield 3.10% AAPL forward 1.75% SP500 forward-1.60% AAPL-SP500 forward 3.35% AAPL vol 73.00% SP 500 vol 45.00% GOOG/APPL correl 0.68 GOOG-APPL vol 53.73%...
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exotics - Yearend Value One Yr Ret Cum Pos Ret 2004 110.88...

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