||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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