結構型商品評價與分析─以匯率連結商品為例

The analysis of structured notes─Exchange rate

吳允喬(Yun-chiao Wu)

指導教授 ： 吳庭斌

國立中央大學/管理學院/財務金融學系/碩士(2015年)

摘要

本研究主要是探討兩檔連結匯率的結構型商品，分別為彰化銀行Sure Win-外幣組合式商品以及Commerzbank AG Frankfurt -Bonus Pivot Target Forward，根據Black-Scholes Model和蒙地卡羅模擬法，計算並分析商品的理論價格、敏感性因素。

第一檔商品是2010年由彰化銀行所發行的非保本型商品，又稱「雙元可轉換契約」，本研究發現，此檔商品利用蒙地卡羅模擬法計算出的理論價格與真實價格相差不大，也就是說此檔商品可視為一公平契約，投資人在購買前除了多加考量計價幣別與連結貨幣之間的匯率趨勢外，應再多加考量貨幣被轉換的機率。

第二檔商品是2007年由Commerzbank AG Frankfurt所發行的商品，包含落入匯率區間獲利以及提前出場條款，本研究發現，雖然購買此檔商品在第四個月提前出場獲利的機率為36.1%，但是利用蒙地卡羅模擬法模擬10萬次後，平均而言投資人會有75%的損失，因此投資人在購買此檔商品前應該要多加留意匯率變動的幅度以及各月份提前出場的機率。

關鍵字

結構型商品 ； 匯率 ； 蒙地卡羅模擬法

並列摘要

This paper studies two structured notes. One is CHB -Dual currency-linked note. Another is Commerzbank AG Frankfurt -Bonus Pivot Target Forward. We calculate the price of structured notes and analyze the sensitivities of the products by Black-Scholes Model and Monte Carlo method.

The first product is CHB -Dual currency-linked note. We use Monte Carlo method to calculate theoretical price and we find that theoretical price is similar with real price. That is to say, this note is a fair contract. Before purchasing note, investors should consider currency denominated monetary and exchange rate trends. What’s more, they should consider the probability of currency which might be converted.

The second product is Commerzbank AG Frankfurt -Bonus Pivot Target Forward. We use Monte Carlo method simulation. This contract of an early termination of the probability of 36.1% in the fourth month. However, when we use Monte Carlo simulation to calculate the price about 100,000 times. On average, investors will lose 75% of the principal amount. Therefore, investors should pay more attention about the magnitude of changes in exchange rates and the probability of early termination in each month.

並列關鍵字

Structure Note ； Exchange Rate ； Monte Carlo Simulation

參考文獻

羅詩發(2010)，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，國立台北大學統計研究所碩士論文

黃雅婷(2010)，結構型商品之評價與分析-以匯率與多股權連結型商品為例，國立台北大學統計研究所碩士論文

吳孟修(2010)，結構型商品之評價與分析-以匯率連結商品為例，國立台北大學統計研究所碩士論文

Black,F.and M.Scholes(1973), "The Price of Option and Corporate Liabilities",Journal of Political Economy 81: 637-659.

Amin, Kaushik I., Jarrow, Robert A.(1991), "Pricing foreign currency options under stochastic interest rates." Journal of International Money and Finance: 310-329.