本研究將評價台灣發行的兩檔結構型商品,分別是富邦銀行發行的『金融MOU雙贏(非保本型)1.5年期台幣計價自動贖回結構型商品』與彰化銀行所發行的『外幣組合式(保息型) 商品』,並針對其風險及條款設計進行分析。 其中第一種商品可以拆解成一個零息債券加上數個混合選擇權(Compound Option),利用蒙地卡羅模擬法,求算出合理價格,而後更進一步分析投資標的風險與報酬。 而第二種商品可以拆解成一個零息債券加上一個外匯選擇權(Exchange Option),在風險中立市場下,利用Black-Sholes模型導出其封閉解,並且求算其避險函數及分析風險與報酬,以利發行商或投資人掌握各種風險。 藉由本文研究,可以給予投資人在投資時的參考,且認識連動式債券背後的風險與獲利空間,讓投資者更加了解此商品的特性以及優缺點,讓不同需求的投資者可以更正確的選擇自己想要的商品。更能幫助金融從業人員提高發行商品量與後續避險工作的技術。
This paper will price and analyze two structured products.One of the products is a basket equity-linked notes.The other one is a dual currency convertible contract. The first product can decompose to a zero coupon bond and serveral compound options,using Monte-Carlo simulation method to evaluate this product. After pricing this product,we analyze the remuneration and risks deeply. The second product can decompose to a zero coupon bond and a exchange option,using the Black-Scholes model to evaluate this product under risk-neutral market. After pricing this product,we analyze the greeks,risks,and the remuneration. This paper can give investors more information when they invest in structured products.Furthermore, the paper can let investors know the remuneration and risks of the products,and understand the property and the advantages or disadvantages of the products.Different investors can choose structured products more correctly after reading this paper.Financiers can increase the amount of structured products and help financiers evade the risks of products by reading the analysis.