| 摘要(英) |
This article will study two kinds of structure notes, respectively, multi-asset equity-linked products and CMS spread-linked products.
The first part of the multi-asset equity-linked products, the product link MastertCard, Thomson Reuters, and NYSE Euronext three company’s stock price. Use the early appearance of high interest to attract investors. This article derive the assets’ dynamic process under risk-neutral, and use the Monte Carlo simulation method to simulate. Through the simulation results can be found in 56.29% probability of generous compensation, but investors need to pay attention to the possible huge losses. This product was finally affected by the financial tsunami, the investors can only get back 27.44% of the principal.
In the part of the CMS spread-linked products, linked to the CMS 10 years and CMS 30 years spread’s fifty five times, so that investors can expect possible high interest rates. In this paper, we use the LFM model and Monte Carlo simulation method to find the value of goods was very low because the interest rate spread was very small in that time. Because of the early redemption provisions, even if the changing market environment, investors can not get high interest rates.
Use the method to analysis of market goods, the investors can make investment decisions under more complete information.
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| 參考文獻 |
中文部分
1、 陳松男﹝2006﹞，利率工程學—理論模型與實務應用，新陸書局
2、 陳松男﹝2006﹞，金融工程學—金融商品創新與選擇權理論，新陸書局
3、 鄭昭佑﹝2009﹞，自動提前贖回結構商品之評價與分析—以CMS連結債券與股權連結債券為例，政大金融所碩士論文
4、 李健維﹝2010﹞，結構型金融商品之評價與分析—固定期限交換利率利差連動債券，政大金融所碩士論文
5、 劉冠男﹝2010﹞，結構型商品之評價與分析—多資產股權連動結構型商品與外幣組合式結構型商品，台北大學統研所碩士論文
英文部分
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6. Ho, T. S. Y. and S. B. Lee (1986), “Term Structure Movements and Pricing Interest Rate Contingent Claims”, Journal of Finance, 41:5, 1011-1029.
7. Hull, J., and A. White (1990), “Valuing Derivative Securities Using the Explicit Finite Difference Method”, Journal of Financial and Quanitative Analysis, 25, 87-100.
8. O. Vasicek. (1977): “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics 5, pp. 177-188.
9. Rebonato, R.(1999d), Volatility and Correlation. Wiley, Chichester.
10. Rebonato, R.(2002), “Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond”, Princeton University Press.
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