有结果了么。

A CD issued by Bank XYZ will pay 100% (Hereafter referred to the “participation rate”) of increase in S&P 500 (excluding dividends) at a 5.5-year horizon, if that return is positive and zero interest otherwise. The CD guarantees at least repayment of the principal. The S&P 500 index is now 1000. Each CD has a face value of $1000. Suppose that at the time the CD was issued, the risk-free rate was 6%, the dividend yield on the S&P was d = 1.5%, and the volatility of the S&P index was 25%. Your analyst tells you that a European call of the S&P 500 index, at-the-money, for 5.5 years, is valued at $306 according to the Black&Sholes model, with its delta equal to 0.70. However, such a long term call is not available on major option exchanges.

Please analyze if Bank XYZ can make a guaranteed profit from issuing such a CD provided above information. If Bank XYZ wants to hedge its risk associated with issuing the equity linked CD, how should it do so? What is the maximum participation rate Bank XYZ can provide to break even in issuing this CD?      这道题是什么教材上的原题？谢谢大家，如果知道这道题的来源，应该能够找到该书的参考答案。