結構型商品的出現提供投資人更多投資的選擇,但在金融市場投資風險不斷提高的當下,從一直創新的商品結構中,尋找適合本身的投資商品即顯得益加重要,然而結構型商品的設計愈來愈複雜,商品條款也常常設計的相當誘人,特別是高收益型結構的商品,投資人或許可以清楚瞭解可獲得的投資報酬,但卻無從得知隱含的投資風險。 本文提出外幣組合式商品與多資產股權連結自動贖回結構型商品,評價與分析兩種高收益卻有不同風險來源的個案,並論述本文評價商品所需之研究模型及蒙地卡羅模擬方法。其中外幣組合式商品為固定收益商品和歐式賣權的組合,可由匯率模型推導求得封閉式公式解;而後者多資產股權連結自動贖回結構型商品,透過拆解可知複雜的條款設計無法求得封閉式解,因此需採用多變數蒙地卡羅模擬法來大量模擬各股資產價格變動,再對各時點的贖回價格進行折現,推導出期初商品的理論合理價格。之後再進行後續的避險參數分析,探討各因子對於商品價值的影響程度。此外,針對這兩類型商品的風險,本文均提出相關之建議。
This study is mainly in view of the foreign currency linked notes and multi-asset high yield notes product by the financial engineering method. Providing the investor and the distributor to understand about the structure product characteristic and the risk. This paper separates foreign time deposit and currency option from foreign currency structured Notes and uses Garman-Kohlhagen Model to calculate the price of an FX option. Applying Multivariate Monte Carlo simulations methods to simulate stock price. This study analyzes the exchange rate and stock price in the structure product, and discuss weather the value of structured notes would be changed by the underlying asset volatility or other factors.