結構型商品的評價分析-以台灣市場為例

The pricing and analysis of structured products in Taiwan market

丁章晉(Jhang- Jin Ting)

指導教授 ： 王銘杰

國立暨南國際大學/管理學院/國際企業學系/碩士(2009年)

摘要

本研究以台灣市場之股權連結商品及保本型商品為研究對象，利用一般現金流量折現法及Black & Scholes模型及其修正模型求得自行複製合成價格，分析結構型商品的市場報價是否以合理價格發行。研究結果顯示：結構型商品主要是以溢價的方式發行。當商品愈接近到期日時，選擇權的價值愈少，且投資人紛紛進行攤銷，此同時，券商也減少商品的交易量，因而在接近到期日時的結構型商品之每日相對價差幅度呈現反向相關。連結個股選擇權的股權連結商品之每日相對價差受價內價外程度所影響，因連結單一個股在深度價內或深度價外時，會進一步影響透過訂價模型所得到的選擇權價格。基本型股權連結商品及組合式保本型商品在市場為多頭或空頭，對於每日相對價差將有顯著影響，在市場呈現多頭時，此兩種商品的訂價誤差將正向增加，在市場呈現空頭時，訂價誤差也跟著有所減少。

關鍵字

結構型商品 ； 界限型選擇權 ； 現金流量折現法 ； 彩虹選擇權

並列摘要

In this study, we focus on the pricing of the Equity-Linked Notes and Principle Guaranteed notes in Taiwan market as the research object. the use of discounted cash flow method and the Black & Scholes model and its modified model to combine a theoretical price. Comparing the daily closing prices of a lot of structured products to theoretical values derived from the closing prices of options traded on the Taiwan Futures Exchange (TAIFEX). The study reveals that the price deviations are low in comparison and the existence of overpricing effects. Some indications show that the prices of the structured products will be influenced by the time to maturity and moneyness of the structured products. In the bull or bear market , it will have a significant impact on the daily relative price deviation of Equity-Linked notes with vanilla option and Principle Guaranteed notes. This relative price deviation will exist the positive relations in the bull market, the relative price deviation will exist the negative relations in the bear market.

並列關鍵字

structured products ； discounted cash flows method ； barrier option ； rainbow option

參考文獻

Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637-659

Burth, S., Kraus, T., and Wohlwend, H., 2001, The pricing of structured products in the Swiss market, The Journal of Derivatives, 30-40

Brennan, M., and E. Schwartz., 1976. "The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee." Journal of Financial Economics, vol. 3, no. 3 (June):195–214

Bennett, J. A., Chen, A. H., and McGinness, P. (1996), "An Analysis of Capital

Guaranteed Funds," International Review of Economics and Finance.