本研究將針對國內新種金融商品發展歷程為出發點，透過介紹結構型商品，檢視若欲投資商品應知悉可能影響或承擔之各種風險因素。文中將以近期台灣金融市場高度關注兩類商品作為案例：「目標可贖回遠期契約 (Target Redemption Forward, TRF) 」以及ETF結構相似之「一籃子股權結構型商品(Basketed Equity Linked to Note)」。透過相似結構之商品來解釋結構型商品隱含其投資價值影響因子與定價的原則，使投身於此類商品之投資人能充份了解影響該商品的投資風險，進而令此類金融商品更能廣泛被市場大眾了解並接受。定價方法將參考Black-Scholes Model，搭配蒙地卡羅模擬進行商品評價，進行敏感度分析，藉以充份了解影響結構型商品因子。;This paper focuses on structured products and investigates the risk investors may take when they buy these products. Following chapters start from introducing the development of structured products. After, the paper use two products, Target Redemption Forward and Basket Equity Link to Note, as case studies. By explaining factors which affect the investment value and the principle of pricing, this paper can help investors who buy this kind of products fully understand the risk they may take and then makes these products more acceptable. In order to understand factors that affect structured products thoroughly, this paper not only prices these products by using Black-Scholes model and Monte Carlo simulation, but also does sensitivity analysis.
