Pricing FTSE100Accelerated Returns Note

This paper tries to price a structure note: FTSE100Accelerated Returns note.We will find the approximated closed-form price formula of the note and verify thecorrection of the formula by using Monte Carlo simulation. In the process of pricingthis note, methods to price Lookback option and Average Option is discussed. Basedon the approximated closed-form formula, we will do sensitivity analysis. We willalso review and predict the economic environment and stock market performance inUK in recent years. We estimate the tendency of note s value change with ourprediction. Finally, some discussion on the note is given to decide the profit issuerwill get.