| 摘要: | 本研究以Commerzbank AG出版之匯率衍生性商品說明書中之一系列目標可贖回遠期合約(Target Redemption Forward,TRF)為標的。包含標準型TRF (Standard Target Forward)、計次型TRF(Counting Target Forward)、保護槓桿型TRF(Protection Leverage Target Forward)、加碼型TRF(Booster Target Forward)、紅利型TRF(Bonus Target Forward)、雙元出場型TRF(Dual Target Forward)等六種TRF商品。透過Black-Scholes Model與蒙地卡羅模擬法，對此系列商品做出完整的評價與分析。
本文第四章對上述六種TRF商品進行評價與商品分析。投資人持有TRF商品的平均勝率都非常高，但平均損失與獲利金額相差非常大，損失獲利比很大，屬於小賺大賠型商品。敏感度分析方面，波動度與商品價值呈現負相關；利率對商品價值之影響則須考慮合約匯率方向；合約期間長短與商品價值呈現負相關；累積目標值與商品價值呈現非線性相關。
本文第五章對上述六種不同形式之TRF商品進行商品的交叉分析比較。計次型TRF商品相較於標準型TRF商品，投資人勝率與商品價值較高；加入保護匯率區間，有效減少投資人損失機會，商品價值上升；加入加碼匯率，有效資加投資人獲利金額，商品價值上升；在相同的契約架構下，加碼型TRF商品較保護型TRF商品，更能提升投資人勝率與商品價值；不同的獲利給付條件，在不同市場環境下存在相反的效果。波動度低時，紅利型TRF商品相較於保護型TRF，提供較高的商品價值。波動度高時，保護型TRF商品相較於紅利型TRF，提供較高的商品價值。整體而言，以累計獲利次數作為出場條件，更容易達到提前出場條件，有效降低損失無上限的風險，Counting Target Forward擁有較高的商品價值，對於投資人較為有利。
;With Black-Scholes Model and Monte Carlo Approach, this paper does a complete evaluation and analysis on the derivatives, Target Redemption Forward (TRF), in Commerzbank AG, including Standard Target Forward, Counting Target Forward, Protection Leverage Target Forward, Booster Target Forward, Bonus Target Forward and Dual Target Forward.
The integrated comparisons and evaluations on these six TRF derivatives are in Chapter 4. The average win probabilities for holding TRFs are quite high, but there is a huge gap between the profit and the loss, which means that TRF belongs to the lower-gain and higher-loss type. On the other side, the volatility of TRF has a negative relationship with the value of TRF, the interest impact on the value of TRF need to take the exchange rate in contract into consideration, the contract period is negatively related to the value of TRF and the cumulated target value is nonlinear with the value of TRF.
In Chapter 5, it shows the results of cross comparison between Standard Target Forward, Counting Target Forward, Protection Leverage Target Forward, Booster Target Forward, Bonus Target Forward and Dual Target Forward: It can be told that the Counting Target Forward has higher win probabilities and value than Standard Target Forward. When the contracts consider to the protection leverage, it can effectively reduce the loss and raise the commodities value for investors. Taking the overweight exchange rate into the contract, the profit and commodities value effectively increase for investors. In the same structure of contracts, Booster Target Forward can raise more winning probabilities than Protection Leverage Target Forward. There are adverse effects in different market with different paying conditions. And when there is higher volatility, Bonus Target Forward has lower commodity value than Protection Target Forward. In general, take Counting Target Forward be the appearance condition, it is more easy to achieve the appearance condition in addition and can effectively reduce the risk of loss. That is, Counting Target Forward has higher commodity value for the investors. |
