結構型商品之評價與分析---保本型股權連結與保息型匯率連結票券

The Pricing and Analysis of Structured Products: a principal guaranteed equity-linked note and a premium guaranteed currency-linked note

羅詩發(Shih-Fa Lo)

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

本篇論文將探討的兩種結構型商品--保本型股權連動債及保息型匯率連動債之特性、報酬與風險。第一個研究個案為保本型多資產股權連動商品，由於此商品收益率以及現金流量的時間點，取決於兩提前出場觀察日以及期末的累積最小月報酬率，所以此商品屬於一路徑相依商品，必須判斷是否商品會提前出場，因此，無法解出價格之封閉解，故將使用反向變異蒙地卡羅模擬法進行評價。

本文第二個個案為保息型匯率連動商品，此組合式商品為到期日才可結算，為一歐式商品，根據商品的拆解後，現金流量可視為一日圓定存加上賣一外匯選擇權(FX option)的組合，故此商品利用Fish Black與Myron Scholes在1973年發表的Black-Sholes模型假設，利用風險中立評價方法，運算求出一封閉解，並且探討此商品相關風險來源。

本文期望藉由介紹結構型商品且分析這兩種商品的收益以及風險來源，期望提供一般投資大眾能對商品有詳盡的了解，進行適當的投資決策。

關鍵字

股權連動債，蒙地卡羅法；反向變異法；Black-Sholes；外匯選擇權

並列摘要

This article will study two kinds of structured products: a
principal guaranteed equity-linked note and a premium guaranteed currency-linked note, about its characteristic, reward and risk.

The first product is a principal guaranteed multi-asset
equity-linked note. This is a path dependent type of product.The rate of return and the time point of cash flows are depended on two early exercised dates and the final appearance of the accumulated minimum monthly rate of return. Therefore, it must be determined whether the occurrence of a Knock-out event or not,and the price can't get a close-form solution. So we will use the antithetic variate method of the monte-carlo simulation to evaluate.

The second product is a premium guaranteed currency-linked note.This structured product should wait up to the expiration date to exercised, which is one kind of European product. According to the decompositions, cash flow can be considered as a combination of one yen deposit and the purchase of a foreign exchange option (FX option). This product uses the Black-Scholes model assumption which is published by Fish Black and Myron Scholes in 1973. By using risk-neutral Pricing method,obtain a close-form solution, and consider where the related-risks come from.

This article expect through the introduction of above products(principal guaranteed equity-linked note and premium guaranteed currency-linked note),everyone can know better about structured products and make appropriate investment decisions.

並列關鍵字

Equity-linked note；Equity-linked note；Monte-carlo method；Antithetic Monte-carlo method；Black-Sholes；Foreign exchange option

參考文獻

張竣堯 (民97). 結構型商品評價與分析-以每日計息雙區間可贖回債券及觸及失效絕對報酬股權連動債券為例.

許展維 (民98). 結構型商品之評價與分析-附有雙重界限選擇權之股權及匯率連動票券.

鄭昭佑 (民98). 自動提前贖回型結構商品之評價與分析-以CMS連結債券及股權連結債券為例.

顏忠田 (民96). 結構型商品評價與分析--以逆浮動利率連結商品與匯率連結商品為例.

Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities.