結構型商品之評價—以匯率連結商品為例

Pricing the structured notes—Take a fx-linked deposit as an example

吳孟修(Meng-Hsiu Wu)

指導教授 ： 吳庭斌

國立臺北大學/商學院/統計學系/碩士(2010年)

摘要

本文的研究我們可以知道結構性金融商品的本質特徵。對於監管者來說，通過本文的研究可以瞭解結構性金融商品的特徵，為政策的制定提供決策依據；對於市場參與者來說，可以更好的瞭解結構性商品的投資性質，為投資或者投機提供參考。
Black-Scholes定價模型已成為現今計算衍生性商品之定價的主要基礎，其模型最大的優點在於其為一封閉解(closed form solution) ，能提供我們對選擇權精確的定價，且計算的過程相當簡單，因此可以透過標的資產與現金構成的投資組合達到避險的目的。而Black-Scholes模型假設其無風險利率為常數且已知、股價服從幾何布朗運動 (Geometric Brownian motion)、股票不發放股利、買賣股票或選擇權沒有交易成本、可以用短期利率去融資購買證券和允許賣空交易。
本文的研究目的以評價某銀行的保本型澳幣組合式商品及保息型日幣組合式商品，並從發行者的角度，研究產品定價和產品類型、產品期限、信用等級的關係。內容包含：
1、介紹結構性金融產品的種類及發展過程。
2、介紹匯率連結型金融產品的種類及發展過程。
3、引用Black-Scholes模型為推導模型，找出保本型及固定收益型商品之封閉解。
4、介紹實務販售的商品，分析其設計架構，希望能創新更多的商品。

關鍵字

結構型商品

並列摘要

This research paper is to study the characteristics of the structured notes. Accoding to this study, the supervisors are able to design the policy while the market investors are capable to understand the investment nature of the structured notes. Furthermore, this paper provides the knowledge for helping investors when they purchasing the financial products.
Black-Scholes pricing model is the fundation of computing the price of the derivative commodity and the biggest advantage of this model is to provide a closed form solution along with an exact price of an option. This pricing model can hedge the risk by signing property and cash constituting an investment profolio.
Black-Scholes pricing model assumed：
1、The risk-free ratio is a constant and known.
2、The distributing is complying with Geometric Brownian motion.
3、No dividend.
4、No cost when trading stocks or options.
This research aims to evaluate two FX LINKED DEPOSIT from particularly anonymous bank and to study the pricing, dead-line and credit level from publisher's standpoint. The content includes：
1、An instruction of the nature and the sort of structured notes.
2、An instruction of the nature and the sort of FX LINKED DEPOSIT.
3、To provide the closed form solution for principal guaranteed Notes and fixed income structured notes based on the Black-Scholes pricing model.
4、To introduce the real products that are sold in the bank and to analyze the design and structure in order to provide more innovative financial products.

並列關鍵字

structured notes,Black-Scholes

參考文獻

11.廖四郎、康榮寶、張嘉倩，2003，「保本型票券之定價及避險策略」， 證券暨期貨管理，第21卷第7期，頁1-12。

13.Aizenman, J. and Hausmann, R., 2000, “Exchange Rate Regimes and Financial-Market Imperfections”, NBER Working Paper No.7738.

14.Black, S., 1976, “Exchange Policies for Less Developed Countries in a World of Floating Rates”, Princeton Studies in International Finance, No.119.

15.Dornbusch, R. and Park, 1999, “Flexibility or Nominal Anchors?” Exchange Rate Policies in Emerging Asian Countries, Routledge, London.

16.Edwards, S., 1996, “The Determinants of the Choice between Fixed and Flexible Exchange-Rate.