DOCSLIB.ORG

Exotic Option Pricing: Analysis and Presentation Using Excel

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Exotic Option Pricing: Analysis and Presentation Using Excel JOURNAL OF ECONOMICS AND FINANCE EDUCATION ∙ Volume 12 ∙ Number 1 ∙ Summer 2013 Exotic Option Pricing: Analysis and Presentation Using Excel Steve Johnson1 and Robert Stretcher2 ABSTRACT Analysis and presentation of derivatives analysis presents challenges to educators. The nature of financial derivatives is complex and varied, requiring structured modeling techniques. As sophisticated as these techniques may be, ineffective communication of the pricing process can impair the application of the models to investment scenarios. This paper presents a possible framework for analyzing and presenting exotic option pricing, and demonstrates the use of the model through three example analyses: Asian options, down-and-out options, and down-and-in options (barrier options). Introduction Teaching techniques vary greatly in the presentation of option pricing. The different types of options are numerous, and their individual pricing nuances must be taken into account when forming an analytical basis for pricing. A readily available software package in both educational and professional settings is Excel. It is possible in Excel to create a pricing framework that can handle a variety of different option types. It is the purpose of this paper to present one such framework, a binomial model that determines the contribution to the value of the exotic option of each possible price path. Exotic option values have path dependency, unlike the typical American or European options, where the value of the underlying asset at maturity determines the option value regardless of the pricing path during the term of the option. Motivation A clear presentation of exotic options is important in both the business and academic settings. Exotic options are integral to finance topic areas. Both Asian and barrier options have practical uses for investors. Zhang (1995) notes that Asian options are popular in the commodities and currency markets. Many consumers of commodities are concerned about hedging across multiple periods. For these types of consumers, a single spike in the price would have less effect than an upward trend in the price. With an Asian option, the consumer can hedge the average price over a period of time. Also, Asian options may be cheaper, since at inception, the volatility of the average price over the life of the option will be less than the volatility of the price at expiration. Derman and Kani (1996) note that barrier options have a number of uses for investors. First, buying a barrier option allows the investor to eliminate scenarios that seem unlikely. An investor that believes that stock prices will go up could buy a “down-and-out” call option that becomes worthless if the price drops below the barrier price. Since this option is less likely to expire in the money (it could be “knocked out”), it will cost less than a “plain vanilla” call option. Second, there is an application of barrier options to capital structure theory. Brockman and Turtle (2003) argue that barrier options represent a more accurate model of capital structure than plain vanilla options because the firm can be "knocked out" anytime that interest is not paid. Reisz and Perlich (2007) model equity as a down-and-out barrier option as part of a bankruptcy prediction model. ___________________________________ 1Assistant Professor of Finance, Sam Houston State University, Huntsville, TX 77341, [email protected] 2Professor of Finance, Sam Houston State University, Huntsville, TX 77341, [email protected] 7 JOURNAL OF ECONOMICS AND FINANCE EDUCATION ∙ Volume 12 ∙ Number 1 ∙ Summer 2013 A good understanding of the nature of these options can undergird students' understanding of not only options, but also various other similar structures in finance. A clear exposition method of exotic option pricing therefore has value for students of finance. Spreadsheet Construction Since, with exotic options, the price of the underlying asset at different points during the option's term affects the value of the option, it is necessary to model the possible paths and to establish probabilities associated with each path. In order to be effective for a classroom presentation, a limited number of possible paths should be presented; enough to where the variety of paths and end nodes is sufficient to illustrate a range of option values, but few enough that the lesson is not lost in the detail. We begin by constructing a four-period binomial option pricing model for a European call option. In this model, the underlying asset price can change four times. The resulting "tree" of possible outcomes is depicted in Exhibit 1.At each node of the binomial tree, the stock price is displayed above the call price. The spreadsheet is structured according to a binomial valuation model.From basic option theory (Hull 2000), the value of a plain vanilla European call option at any final node is equal to max (Stock price – X, 0) where “Stock price” refers to the price of the stock at that node “X” is the strike price of the option. The stock price follows a binomial pricing model where S_0 = stock price at time zero Rf = risk-free rate, continuously compounded Sigma = the standard deviation of returns, continuously compounded DeltaT = 0.25 u = 1 + percent increase (continuously compounded) in price if the stock price moves up d = 1 + percent increase (continuously compounded) in price if the stock price moves down a = exp(Rf * deltaT), a variable used to calculate the probability of an upward price movement p = the probability of an upward movement in the price The stock price at any given node equals (# of upward movements) (# of downward movements) S_0 * u * d The call option price at t-1, Ct-1, equals the discounted weighted average of the call option prices: (p*Ct| stock price increase +(1-p)* Ct| stock price decrease)*e-Rf*t where: p is the probability of a stock price increase (1-p) is the probability of a stock price decrease. The outcomes can be expressed in terms of the possible combinations of turning points during the option term, as in Exhibit 2. Referring to the specific cells in the exhibit, the inputs (risk free rate, sigma, strike price, and deltat) are placed in cells B8:B12, and the path nodes in cells E1:I27. Columns K-N contain 0,1 representations of the direction the underlying asset value took at each critical point (1 for up, 0 for down), and the stock prices at each point in columns O-S. Applied to a European option, where the value of the underlying stock at expiration determines whether the option is in the money, we see that the path is immaterial; only the value of the stock at expiration matters. With exotic options discussed in this paper, the path does matter, since the value of the option depends on the stock price movement from initiation to expiration. 8 JOURNAL OF ECONOMICS AND FINANCE EDUCATION ∙ Volume 12 ∙ Number 1 ∙ Summer 2013 Exhibit 1.Possible outcomes from binomial model. Column T contains the call value at expiration for each possible path. The total of the 0,1 indicators will have the same total value (for example , 1110 would result in the same ending node as 1101, 1011, and 0111) and therefore, the same call value at expiration. The risk free probabilities associated with each end node (Column U) represent the probability specified for each upward move raised to the number of upward moves in the end node power. For example, if the end node represents three upward moves and one downward move, the risk free probability associated with that path is .537813times (1-.53781)1. Note that all paths leading to the same end node will thus have the same risk free probability. Multiplying the call value at expiration times the cumulative probability times the discount factor (using the risk free rate as the discount rate), the result in column W represents the weighted contribution for each value at expiration. Summed, the result is the option value, in this case $4.99. 9 JOURNAL OF ECONOMICS AND FINANCE EDUCATION ∙ Volume 12 ∙ Number 1 ∙ Summer 2013 Exhibit 2.Initial Spreadsheet. Asian Options Applied to Asian options, the value is determined not by the value of the underlying asset at maturity, but rather by the average price of the underlying asset during some specified period, specified here as the lifetime of the option (although terms within the lifetime of the option are sometimes specified, as well). Thus, the value of an Asian option is path dependent. The average of the stock prices for each of the five nodes in the path is calculated, therefore, and the result placed in column T. Note that although the ending price (column S) is the same for all paths leading to the same ending node, the average price is not the same, since different paths were taken. As a result, the value at expiration (Column U) will have different values within one end node. The discount factors and the probabilities are the same as in exhibit 2, since the same probabilities accompany the same paths. Again, the sum of the contribution column is the intrinsic value of the option (Exhibit 3). The value of the Asian option, based on averages over the term, is less than the value of the call option from exhibit 2 (using the exact same inputs), since the average value does not vary as much as the possible price at expiration. 10 JOURNAL OF ECONOMICS AND FINANCE EDUCATION ∙ Volume 12 ∙ Number 1 ∙ Summer 2013 Exhibit 3.Asian Option Pricing. Down and Out Call Option The down and out call option is a type of barrier option. If the price falls to (or below) the value of the barrier value "H" (cell B13, $46 in this scenario), then the option is "out," and the value of the option is zero, regardless of price movement after it reaches or falls below the barrier.
Load more

Recommended publications
  • Dixit-Pindyck and Arrow-Fisher-Hanemann-Henry Option Concepts in a Finance Framework
    Dixit-Pindyck and Arrow-Fisher-Hanemann-Henry Option Concepts in a Finance Framework January 12, 2015 Abstract We look at the debate on the equivalence of the Dixit-Pindyck (DP) and Arrow-Fisher- Hanemann-Henry (AFHH) option values. Casting the problem into a financial framework allows to disentangle the discussion without unnecessarily introducing new definitions. Instead, the option values can be easily translated to meaningful terms of financial option pricing. We find that the DP option value can easily be described as time-value of an American plain-vanilla option, while the AFHH option value is an exotic chooser option. Although the option values can be numerically equal, they differ for interesting, i.e. non-trivial investment decisions and benefit-cost analyses. We find that for applied work, compared to the Dixit-Pindyck value, the AFHH concept has only limited use. Keywords: Benefit cost analysis, irreversibility, option, quasi-option value, real option, uncertainty. Abbreviations: i.e.: id est; e.g.: exemplum gratia. 1 Introduction In the recent decades, the real options1 concept gained a large foothold in the strat- egy and investment literature, even more so with Dixit & Pindyck (1994)'s (DP) seminal volume on investment under uncertainty. In environmental economics, the importance of irreversibility has already been known since the contributions of Arrow & Fisher (1974), Henry (1974), and Hanemann (1989) (AFHH) on quasi-options. As Fisher (2000) notes, a unification of the two option concepts would have the benefit of applying the vast results of real option pricing in environmental issues. In his 1The term real option has been coined by Myers (1977).
    [Show full text]
  • Analysis of Employee Stock Options and Guaranteed Withdrawal Benefits for Life by Premal Shah B
    Analysis of Employee Stock Options and Guaranteed Withdrawal Benefits for Life by Premal Shah B. Tech. & M. Tech., Electrical Engineering (2003), Indian Institute of Technology (IIT) Bombay, Mumbai Submitted to the Sloan School of Management in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Operations Research at the MASSACHUSETTS INSTITUTE OF TECHNOLOGY September 2008 c Massachusetts Institute of Technology 2008. All rights reserved. Author.............................................................. Sloan School of Management July 03, 2008 Certified by. Dimitris J. Bertsimas Boeing Professor of Operations Research Thesis Supervisor Accepted by . Cynthia Barnhart Professor Co-director, Operations Research Center 2 Analysis of Employee Stock Options and Guaranteed Withdrawal Benefits for Life by Premal Shah B. Tech. & M. Tech., Electrical Engineering (2003), Indian Institute of Technology (IIT) Bombay, Mumbai Submitted to the Sloan School of Management on July 03, 2008, in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Operations Research Abstract In this thesis we study three problems related to financial modeling. First, we study the problem of pricing Employee Stock Options (ESOs) from the point of view of the issuing company. Since an employee cannot trade or effectively hedge ESOs, she exercises them to maximize a subjective criterion of value. Modeling this exercise behavior is key to pricing ESOs. We argue that ESO exercises should not be modeled on a one by one basis, as is commonly done, but at a portfolio level because exercises related to different ESOs that an employee holds would be coupled. Using utility based models we also show that such coupled exercise behavior leads to lower average ESO costs for the commonly used utility functions such as power and exponential utilities.
    [Show full text]
  • Sequential Compound Options and Investments Valuation
    Sequential compound options and investments valuation Luigi Sereno Dottorato di Ricerca in Economia - XIX Ciclo - Alma Mater Studiorum - Università di Bologna Marzo 2007 Relatore: Prof. ssa Elettra Agliardi Coordinatore: Prof. Luca Lambertini Settore scienti…co-disciplinare: SECS-P/01 Economia Politica ii Contents I Sequential compound options and investments valua- tion 1 1 An overview 3 1.1 Introduction . 3 1.2 Literature review . 6 1.2.1 R&D as real options . 11 1.2.2 Exotic Options . 12 1.3 An example . 17 1.3.1 Value of expansion opportunities . 18 1.3.2 Value with abandonment option . 23 1.3.3 Value with temporary suspension . 26 1.4 Real option modelling with jump processes . 31 1.4.1 Introduction . 31 1.4.2 Merton’sapproach . 33 1.4.3 Further reading . 36 1.5 Real option and game theory . 41 1.5.1 Introduction . 41 1.5.2 Grenadier’smodel . 42 iii iv CONTENTS 1.5.3 Further reading . 45 1.6 Final remark . 48 II The valuation of new ventures 59 2 61 2.1 Introduction . 61 2.2 Literature Review . 63 2.2.1 Flexibility of Multiple Compound Real Options . 65 2.3 Model and Assumptions . 68 2.3.1 Value of the Option to Continuously Shut - Down . 69 2.4 An extension . 74 2.4.1 The mathematical problem and solution . 75 2.5 Implementation of the approach . 80 2.5.1 Numerical results . 82 2.6 Final remarks . 86 III Valuing R&D investments with a jump-di¤usion process 93 3 95 3.1 Introduction .
    [Show full text]
  • Calibration Risk for Exotic Options
    Forschungsgemeinschaft through through Forschungsgemeinschaft SFB 649DiscussionPaper2006-001 * CASE - Center for Applied Statistics and Economics, Statisticsand Center forApplied - * CASE Calibration Riskfor This research was supported by the Deutsche the Deutsche by was supported This research Wolfgang K.Härdle** Humboldt-Universität zuBerlin,Germany SFB 649, Humboldt-Universität zu Berlin zu SFB 649,Humboldt-Universität Exotic Options Spandauer Straße 1,D-10178 Berlin Spandauer http://sfb649.wiwi.hu-berlin.de http://sfb649.wiwi.hu-berlin.de Kai Detlefsen* ISSN 1860-5664 the SFB 649 "Economic Risk". "Economic the SFB649 SFB 6 4 9 E C O N O M I C R I S K B E R L I N Calibration Risk for Exotic Options K. Detlefsen and W. K. H¨ardle CASE - Center for Applied Statistics and Economics Humboldt-Universit¨atzu Berlin Wirtschaftswissenschaftliche Fakult¨at Spandauer Strasse 1, 10178 Berlin, Germany Abstract Option pricing models are calibrated to market data of plain vanil- las by minimization of an error functional. From the economic view- point, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options vary significantly. These price differences often exceed the usual profit margin of exotic options. We provide evidence for this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the Heston and in the Bates model factors influencing these price differences of exotic options and finally recommend an error func- tional.
    [Show full text]
  • Model Risk in the Pricing of Exotic Options
    Model Risk in the Pricing of Exotic Options Jacinto Marabel Romo∗ José Luis Crespo Espert† [email protected] [email protected] Abstract The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Vari- ance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework. Keywords: Model risk, exotic options, local volatility, stochastic volatil- ity, Variance Gamma process, path dependence. JEL: G12, G13. ∗BBVA and University Institute for Economic and Social Analysis, University of Alcalá (UAH). Mailing address: Vía de los Poblados s/n, 28033, Madrid, Spain. The content of this paper represents the author’s personal opinion and does not reflect the views of BBVA. †University of Alcalá (UAH) and University Institute for Economic and Social Analysis. Mail- ing address: Plaza de la Victoria, 2, 28802, Alcalá de Henares, Madrid, Spain. 1 Introduction In recent years there has been a remarkable growth of structured products with embedded exotic options. In this sense, the European Commission1 stated that the use of derivatives has grown exponentially over the last decade, with over-the- counter transactions being the main contributor to this growth. At the end of December 2009, the size of the over-the-counter derivatives market by notional value equaled approximately $615 trillion, a 12% increase with respect to the end of 2008.
    [Show full text]
  • Static Replication of Exotic Options Andrew Chou JUL 241997 Eng
    Static Replication of Exotic Options by Andrew Chou M.S., Computer Science MIT, 1994, and B.S., Computer Science, Economics, Mathematics, Physics MIT, 1991 Submitted to the Department of Electrical Engineering and Computer Science in partial fulfillment of the requirements for the degree of Doctor of Philosophy at the MASSACHUSETTS INSTITUTE OF TECHNOLOGY June 1997 () Massachusetts Institute of Technology 1997. All rights reserved. Author ................. ......................... Department of Electrical Engineering and Computer Science April 23, 1997 Certified by ................... ............., ...... .................... Michael F. Sipser Professor of Mathematics Thesis Supervisor Accepted by .................................. A utlir C. Smith Chairman, Department Committee on Graduate Students .OF JUL 241997 Eng. •'~*..EC.•HL-, ' Static Replication of Exotic Options by Andrew Chou Submitted to the Department of Electrical Engineering and Computer Science on April 23, 1997, in partial fulfillment of the requirements for the degree of Doctor of Philosophy Abstract In the Black-Scholes model, stocks and bonds can be continuously traded to replicate the payoff of any derivative security. In practice, frequent trading is both costly and impractical. Static replication attempts to address this problem by creating replicating strategies that only trade rarely. In this thesis, we will study the static replication of exotic options by plain vanilla options. In particular, we will examine barrier options, variants of barrier options, and lookback options. Under the Black-Scholes assumptions, we will prove the existence of static replication strategies for all of these options. In addition, we will examine static replication when the drift and/or volatility is time-dependent. Finally, we conclude with a computational study to test the practical plausibility of static replication.
    [Show full text]
  • Foreign Exchange Options
    Foreign Exchange Options Markus Cekan / Armin Wendel Landesbank Baden-Württemberg Stuttgart Germany Uwe Wystup MathFinance AG Waldems Germany Keywords: Foreign Exchange Options, FX Options, Option Trade, Hedging, Barrier Options, Digital Options, Structured Products, Straddles, Risk Reversal, Knock Out, Reverse Knock Out Abstract. The Article deals with pricing and hedging of Foreign Exchange Options from a trader’s perspective. We focus on First Generation Exotic Options and will give some examples on Second Generation Exotic Options. We will split up some of these options into their individual components and point out the risk arising from this type of options, as well as show ways to minimise these risks. Market conventions in Plain Vanilla and Exotic Options are described and deviations resp. exceptional features in these markets are shown. 1. Market Overview More and more, the importance of Foreign Exchange Options for risk management and directional trades is recognised by companies and investors. Various Banks have been adapting their products to this situation during the past years. Different risk and profit profiles can be generated with Plain Vanilla or Exotic Options as individual products, as well as in combination of various products such as Structured Products. Financial engineers call this “playing with LEGO- bricks”. Linear combinations of basic products are used to build Structured Products. In order to price Plain Vanilla or Exotic Options and show their risk, many professional trading systems were introduced and are being continuously developed. With these systems, the traders are able to evaluate the positions in the individual currency pair or in currency portfolios at any time.
    [Show full text]
  • Introduction to Exotic Options. Asian Options
    Introduction to Exotic Options. Asian Options. 1 Introduction to Exotic Options 2 Asian Options Definition • Another name for exotic options that are not of the American/European type that we mainly discussed so far is nonstandard options • Exotic options solve particular business problems that an ordinary option cannot • They are constructed by tweaking ordinary options in minor ways • Some relevant questions: 1. How does the exotic payoff compare to ordinary option payoff? 2. Can the exotic option be approximated by a portfolio of other options? 3. Is the exotic option cheap or expensive relative to standard options? Does this question make sense? What are we comparing here? 4. What is the rationale for the use of the exotic option? 5. How easily can the exotic option be replicated/hedged? Introduction to Exotic Options. Asian Options. 1 Introduction to Exotic Options 2 Asian Options Asian Options • The payoff of an Asian option is path dependent • More precisely, it is based on the average price over some period of time • There are various ways in which one can interpret the word \average" and that needs to be postulated in the option contract • Some examples of situations when Asian options are useful are: 1. When a business cares about the average exchange rate over time 2. When a single price at a point in time might be subject to manipulation 3. When price swings are frequent due to thin markets (low liquidity markets) • A practical example would be the exercise of the conversion option in convertible bonds as it is based on the stock price over a 20-day period at the end of the bonds life • Asian options are less valuable than otherwise identical ordinary options Asian Options • The payoff of an Asian option is path dependent • More precisely, it is based on the average price over some period of time • There are various ways in which one can interpret the word \average" and that needs to be postulated in the option contract • Some examples of situations when Asian options are useful are: 1.
    [Show full text]
  • Exotic Collateralized Debt Obligations
    Exotic Collateralized Debt Obligations Out-of-stock and palaeobotanical Garv transcendentalized achromatically and libel his psychopharmacology actually and brokenly. Cram-full Skipper usually tubbings some auditions or reinterprets grotesquely. Absorbed and scared Seth motley her Kashmir amazes outperform and portray militarily. Cash-Out event Central Limit Theorem Collateralized debt obligation CDO Credit default swap Credit derivative product company Exotic. Bookmark of a fire from people whose return from three sessions, and saw their actual mortgage obligations are different motivations for? Each may not provide capital and debt obligations, collateralized debt portfolio distribution. If you are collateralized debt that cdos are marketed to sell securities ever more investors to back on surviving to rescue wall street has collateral calls back. The Fed was hardly true in love these preparatory measures. Cdos owned them all seminars in addition, obligations are going forward contract for downgrade results in a house. Customized the debt obligations, is the roots were coming back to set forth may participate in. Securitization Part 4. Know something on faulty assumptions of dollars. Synthetic collateralised debt obligations Synthetic CDOs were conceived in 1997 as a flexible and low-cost mechanism for trans- ferring credit risk off bank. It exist beyond true scope during this web site to delve into those murky ethereal world of structured finance. This includes Mortgage Backed Securities Collateralized Debt Obligations Credit. The exotic credit card debt tranche structure is fine, exotic collateralized debt obligations? Securities firms such as collateral purchases. Hedge funds and flock other institutions of what about known as the shadow banking structure also proliferated.
    [Show full text]
  • FINA556 – Structured Product and Exotic Options Topic 1 – Overview
    FINA556 { Structured Product and Exotic Options Topic 1 { Overview of basic structured products 1.1 Markets for structured products 1.2 Examples of structured notes and equity-linked products 1.3 Accumulators 1.4 Exotic forms of forward contracts Appendix: Various types of interest rates 1 1.1 Markets for structured products What are structured products? ² Financial instruments that are designed to facilitate certain highly customized risk-return objectives. ² In its simplest form, this can be accomplished by taking a traditional security, like an investment-grade bond, and replacing the usual pay- ment features with non-traditional payo®s derived, say, from the per- formance of one or more underlying assets or indices (equity-linked payo®). ² Widely accessible to retail investors in the same way like that of stocks, bonds, exchange-traded funds (ETFs) and mutual funds. 2 ² U.S. Securities and Exchange Commission (SEC) Rule 434 de¯nes structured securities as \Securities whose cash flow characteristics depend upon one or more indices or that have embedded forwards or options or securities where an investor's investment return and the issuer's payment obligations are contingent on, or highly sensitive to, changes in the value of underlying assets, indices, interest rates or cash flows." 3 Embedded optionality and customized exposure ² With embedded optionality features such as leveraged upside par- ticipation or downside bu®ers. Allow investors to participate to a disproportionately high degree in the performance of the underlying. ² O®er investors the chance of a higher yield than they would earn on a direct investment in the underlying. Guarantee the investor a certain minimum repayment (usually 100%) of the invested amount at the end of its term.
    [Show full text]
  • Asian & Cliquet Style Settlement for FLEX® Index Options
    Asian & Cliquet Style Settlement for FLEX® Index Options What are Asian and Cliquet FLEX Index Options? Insurance companies that write indexed annuity contracts often have exotic option liabilities embedded within those annuity contracts. Two common types of exotic options are Asian (sometimes referred to as averaging options because their settlement values are based on an average of the underlying index throughout the contract’s life) and Cliquet (sometimes referred to as contracts with a monthly sum cap with a global floor because their payoff is the greater of zero or the sum of monthly capped returns of an index over a year). Insurance companies seeking to hedge embedded exotic option risk have historically traded exclusively in the over-the-counter (OTC) market. The introduction of Asian and Cliquet FLEX Index options will provide insurers with an alternative hedging tool to OTC market products, coupled with traditional exchange-traded benefits like enhanced price discovery, transparency and centralized clearing. How are Asian FLEX Index Options Different from Cliquet FLEX Index Options? Both Asian and Cliquet FLEX Index options have a term of approximately one year with 12 monthly observation dates, but each contract type has a different method for determining the exercise settlement value. Below are key contract specifications for Asian and Cliquet FLEX Index options in which terms that are highlighted in gray differ. Please see the working examples of each option type on the following page. ASIAN FLEX CLIQUET FLEX Underlying: Indices only, including, but not limited to: SPX, Indices only, including, but not limited to: SPX, RUT, DJX, XSP, MXEA, MXEF.
    [Show full text]
  • Annual Report 2017 17Th Year of Operations
    Annual Report 2017 17th year of operations Sala degli Arazzi (Tapestry Room) Palazzo Bricherasio, Turin © photo Alessandra Chemollo 17 Banca Patrimoni Sella & C. S.p.A. Via Lagrange n.20 – 10123 Turin tel. +39 011 5607111 fax +39 011 5618245 www.bancapatrimoni.it Gruppo Banca Sella Heritage is, first and foremost, a commitment. A commitment towards all those who have created it and towards all those who will perpetuate its legacy. Banca Patrimoni Sella & C. has always been aware of the importance of this commitment and of the unceasing effort to preserve its heritage. FEDERICO SELLA CEO, GM AND DIRECTOR ©foto Alessandra Chemollo ©foto Alessandra Chemollo Annual Report 2017 17th year of operations ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS MANAGEMENT REPORT Our milestones: a history of continuous commitment to our clients Some of the most significant moments in the history of Banca Patrimoni Sella & C. 2007 Incorporation of Sella Consult Sim P.A. The Bank changes its name to Banca Patrimoni Sella & C. S.p.A. 2005 Merger between Gestnord Intermediazione Sim S.p.A. and Sella Investimenti. Establishment 2006 of Banca Patrimoni e Investimenti The Bank changes its name to Banca Patrimoni S.p.A. 2001 Establishment of Sella 1993 Investimenti Banca S.p.A. Establishment of Gestnord Intermediazione Sim S.p.A. 8 BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS MANAGEMENT REPORT 2017 Banca Patrimoni Sella & C. acquires a majority stake in the trust company Selfid S.p.A. from Banca Sella Holding 2017 Subscription of an 2010 agreement with Establishment of Family Schroders ltaly Sim Advisory Sim S.p.A.
    [Show full text]