Abstract
This paper poses the creation of a structured note consisting of assets from three different markets: fixed income, equity and derivatives. To value the zero-coupon bond it is assumed that the interest rate is stochastic and driven by a Cox, Ingersoll and Ross (1985) process. Stocks from the IPC (Mexican Stock Exchange Index) were used to create investment portfolios with aggressive and conservative risk profiles. The optimal portfolio tangent to the Markowitz (1952) efficient frontier was determined using the Sharpe´s (1970) model. Subsequently, a call option on the investment portfolio is valued by using Monte Carlo simulation. The results show that an economic agent with an aggressive risk profile investment porfolio will be better off investing in the suggested structured note.
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