J&L Railroad: The Board Meeting

Darden Business Publishing Cases

ISSN: 2474-7890

Publication date: 20 January 2017

Abstract

This short case could be handed out at the end of class discussion on “J&L Railroad” [UVA-F-1053] in preparation for the following class, or if students are more experienced with hedging and option pricing, the instructor may choose to cover both cases in a single class period. It is the companion case to “J&L Railroad” [UVA-F-1053], and presents more technical issues regarding the hedging problem by requiring students to understand option-pricing principles. The board likes the CFO's hedging recommendations, but it wants a more careful analysis of the bank's prices for its risk-management products: the caps and floors. Besides demanding an understanding of option pricing, this case puts particular emphasis on the calculation and use of implied volatility.

Keywords

Citation

Eades, K., Lehman, J. and Green, R. (2017), "J&L Railroad: The Board Meeting", Darden Business Publishing Cases. https://doi.org/10.1108/case.darden.2016.000172

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Publisher

:

University of Virginia Darden School Foundation

Copyright © 2009 by the University of Virginia Darden School Foundation, Charlottesville, VA. All rights reserved.

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