| 摘要(英) |
This article studies two kinds of structured products: a target redemption interest rate-linked note and an equity-linked note. Through LIBOR market model and Monte Carlo simulation to analysis the risk, rewards and pricing these two products. The interest rate linked notes appeal investors by paying high interests, but it also have an upper bound to lock his costs. The issuer hoped to earn some profits through higher volatility. However, the LIBOR rate didn’t have such a higher volatility in the holding period of the note. It is a product benefits the investors. The equity-linked note linked to four financial stocks, it used the initial average price as a barrier. Once the average price at any pricing day is larger than the initial average price, the investors would receive eighteen percents annual rate interests and their principle. This product is also a volatility trading product. The issuer could earn some profits if the average price touched the lower bound of price. But the issuer had too larger expectation of the volatility of stock prices. Finally, the average price didn’t touch the lower bound, hence it also benefits the investor. By taking a closer look at these two structured notes, we hope to provide a guideline for those who need decision-makings.
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| 參考文獻 |
中文
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英文
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