多標的資產結構型商品實例評價與解析

The Valuation and Analysis of Multi-Asset Linked Structured Notes

吳柏成(Po-Cheng Wu) ； 高立箴(Lie-Jane Kao)

《台灣金融財務季刊》 10卷3期 (2009/09) Pp. 1-27

https://doi.org/10.6985/TBFQ.200909.0001

摘要

隨著國內的金融市場開放，衍生性金融商品在台灣發展日益蓬勃，本研究以國內市場實際發行的多標的資產結構型商品為例，採用蒙地卡羅模擬法對其進行評價，並詳細分析其商品架構、評價方式、成本結構、投資人及發行人損益。文章同時探討標的資產價格、標的波動率及標的資產間相關性等參數，對多標的資產結構型商品價值與風險係數的影響。研究結果發現，此結構型商品隨著標的資產價格位於價內外不同位置時，具有不同的價值與風險特性。本文站在投資人角度分析商品的報酬型態，同時以發行機構角度分析商品成本與利潤，並進行避險比率分析，研究結果可做為相關商品發行及投資之參考。

關鍵字

結構型商品 ； 彩虹選擇權 ； 蒙地卡羅模擬法 ； Cholesky Decomposition

並列摘要

With the liberalization of domestic financial market, the derivative market develops rapidly in Taiwan. This research considers a multi-asset linked structured note issued in Taiwan as an example to explore the application of rainbow options. By utilizing the Monte Carlo simulation to price the note, this research analyzes the note architecture, the cost structure, and the investors’ and issuer’s profit of the note. Also, this research probes into how the price, volatility and correlation of underlying assets affect the value and Greeks of the note. The results of analysis show that there are different price behaviors and risk patterns depending on whether the underlying price is in, out or on the money. This research not only provides investors a better understanding of the risk and return of the note, but also analyzes the costs, profits and hedging ratios of the note from the issuer's point of view. Therefore, the research results provide valuable information on the design, issue, and investment of related products.

並列關鍵字

Structured Notes ； Rainbow Options ； Monte Carlo Simulation ； Cholesky Decomposition

參考文獻

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