| dc.description.abstract | 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. | en_US |