| 摘要(英) |
This article study two structured notes, respectively, a premium guaranteed currency-linked note and multi-asset-equity-linked note. Via Monte Carlo method, simulate the pricing and analysis the sensitivities of the products. Help the investors to realize the components of structured notes and to make a better decision.
The first product: premium guaranteed currency-linked note was launched in 2011. The research via Monte Carlo method simulation found that the issuer would gain merely 3 percent profits. However, on the investors stand, this is fair contract. On the other hand, the investor should has his or her own point of view with the future exchange rate between deposit currency and alternate currency and think about how to make good use of holding currency once the home currency converted to linked currency.
The second product: ten-year multi-asset-equity-linked note was launched in 2007. The research via Monte Carlo method simulation found that as followings:
1. The correlation between linked equities is low.
2. The product pricing is too high.
3. The issuer would gain 19.79 percent fee.
After half year of the issue date, it happened financial crisis and the whole world stock market was weak. Afterwards, one half of the linked equities’ prices fell because of major crisis: taken over and broken. The fore mentioned were against investor’s situation. According to the actual data, the product is still alive if the investors enter this contract.
This article would provide the references to help the investors to realized the core meaning of the products which promoted by the financial institutions
key word: Structure note、Monte Carlo simulation
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| 參考文獻 |
中文
1.台灣金融研訓院，「結構型商品─重點整理及試題解析」，財團法人台灣金融研訓院，2010。
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英文
1.Amin,K.I. and B.A.Jarrow, "Pricing Foreign Currency Options Under Stochastic Interest Rete", Journal of International money and Finance 10 (1991)：310-329
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5.Grabbe,J.O., "The Pricing of Call and Put Options on Foreign Exchange", Journal of International Money and Finance 2 (1983): 239-253.
6.James A.Bennett, Andrew H.Chen, and Paul McGuinness, "An Analysis of Capital Guaranteed Funds" International Review of Economics and Finance,5(3) (1996): 259-268.
7.Mark B.Garman and Steven W.Kohlhagen, "Foreign Currency Option Values", Journal of International Money and Finance (1983),2: 231-237.
8.McConnell,J.J.,and E.S.Schwartz, "LYON Taming," Journal of Finance 41 (1999): 237-268.
9.Phelim Boyle, Mark Broadie and Paul Glasserman, "Monte Carlo Methods for Security Pricing", Journal of Economic Dynamics and Control, (1997): 1267-1321.
10.Phelim P.Boyle, "Options: A Monte Carlo Approach", Journal of Financial Economics 4 (1977): 323-338.
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