- 學位論文
保本型股權連動商品評價與分析
The Valuation and Analysis of Principal Guaranteed Notes
摘要
在低利率、低報酬的投資環境，金融市場投資風險提高，如何可以賺取投資報酬又可以不用擔心投資本金損失，成為投資人最喜愛的理財需求，保本型商品也就變成市場主流。金融機構不斷研發保本型商品，結構型商品的設計越來越複雜，投資人或許清楚可獲得的投資報酬卻不瞭解其投資風險。 本篇論文透過評價與分析保本型股權連動的結構型商品，期望瞭解商品的報酬來源與參數變動對商品價值的影響。所選定的結構型商品皆為看多的保本型股權商品，是固定收益商品加上新奇選擇權買權的組合，一為喜馬拉雅選擇權，另一個為Cliquet選擇權，都是連結多資產標的的商品，無法求得商品理論價格的封閉解，所以利用蒙地卡羅模擬法進行模擬標的資產價格變動，再依據商品內容求算出商品理論價格，並探討設定參數改變與商品條款改變對商品價格的影響。
並列摘要
On the investment environment of low interest rate, low investment return, the investment risk of financial market is improved. How about needn't worry investing in principal losses and also can get the investment return, it become investor's favorite managing money, the principal guaranteed notes are turned into a market mainstream. The financial institution is researching and developing the principal guaranteed notes constantly, the design of the structured notes are more and more complicated, the investors may know the investment return but they can’t finding out about their investment risk. This paper, through the valuation and analysis of the principal guaranteed notes, hope to understand this structured notes how to offer the return and how influence the product’s value is when the parameter change. The selected structured notes are the bullish principal guaranteed notes which combine ,the fixed income product and the exotic option, one is similar the Himalayas option, the another is similar the Cliquet option, both of the product link the multi-asset and they can’t derive the theory value of structured product, so it is simulated the underlying stock price by monte carlo simulation method and then to calculate the structured notes value according to the product’s term sheet and to discuss how influence the product’s value when the product’s term sheet change and the parameter change.
參考文獻
延伸閱讀
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