| 摘要(英) |
Abstract
This study analyzes three structured notes, a foreign currency-linked note is the first one, the following comes to a multi-asset-equity-linked note and the last one is cumulative equity-linked note. This study decomposes the pricing process of these structured notes and analyzing sensitivity factors by Monte- Carol simulation method. This study provides more ideas of structure products for investors to make better decisions in future.
The first product, foreign currency-linked note, was an interest-guaranteed product and was launched in 2016. Through Monte-Carol method simulation, this study figured out the issuers would get meager profit and investors may stuffer loss due to the high probabilities of converting deposit currency into alternative currency. The investors need to think the usage of alternative currency if the conversion has been triggered.
The second product, the one-year range-accrual note, was launched in 2013. The yield of structured note was much higher than a one-year-deposit interest rate. Via Monte-Carol method simulation, this study found investors have to stand the volatility risk of underlying stock but could not earn the interest of nominal yield which they expected.
The third product, the one-and-half-year cumulative equity-linked structured note, was launched in 2007. This note was sold with a discount of market price of security. The Monte-Carol method simulation shows investors may not get the expected return.
This article would provide the reference of structured notes to help investors to have much understanding of financial instrument which promoted by the financial institutions. |
| 參考文獻 |
中文參考文獻
1. 陳松男，結構型金融商品之設計及創新，新陸書局，2004。
2. 陳松男，初階金融工程學與Matlab，新陸書局，2006。
3. 劉冠男，「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產品」，國立臺北大學統計研究所碩士論文，2010。
4. 羅詩發，「結構型商品之評價與分析－保本型股權連結與保息型匯率連結票券」，國立臺北大學統計研究所碩士論文，2010。
5. 林秉洋，「結構型商品之評價與分析－以股權及利率連結商品為例」，國立中央大學財務金融研究所碩士論文，2012。
6. 廖高論，「結構型商品之評價與分析」，國立中央大學財務金融研究所碩士論文，2014。
7. 吳允喬，「結構型商品之評價與分析－以匯率結構商品為例」，國立中央大學財務金融研究所碩士論文，2015。
8. 許家君，「結構型商品之評價與分析－以匯率及股權連結為例」，國立中央大學財務金融研究所碩士論文，2015。
9. 台灣金融研訊院，「結構型商品—重點整理及試題解析」，財團法人台灣金融研訊院，2010。
10. 蔡昱宏，「結構型金融商品之評價與分析─以多資產股權連動債券CMS利差連動債券為例」，2012。
11. 吳晉賢，「隨機波動度下選擇權定價模型之探討-以股權及匯率結構型商品為例」，國立中央大學財務金融研究所碩士論文，2015。
英文參考文獻
1. Phelim Boyle, Mark Broadie and Paul Glasserman(1997), "Monte Carlo Methods for Security Pricing", Journal of Economic Dynamics and Control：1267-1321.
2. Amin,K.I. and B.A.Jarrow(1991), "Pricing Foreign Currency Options Under Stochastic Interest Rete", Journal of International money and Finance 10：310-329.
3. Black,F.and M.Scholes (1973), "The Price of Option and Corporate Liabilities", Journal of Political Economy 81：637-659.
4. Chen,K.C.,and R.S.Sears(1990), "Pricing the SPIN" ,Financial Management：v19n2,Summerr,36-47.
5. Finnerty,J.D. (1993), "Interpreting SIGNs" Financial Management v22n2,Summer：34-47.
6. Grabbe,J.O. (1983), "The Pricing of Call and Put Options on Foreign Exchange", Journal of International Money and Finance 2：239-253.
7. James A.Bennett, Andrew H.Chen, and Paul McGuinness(1996), "An Analysis of Capital Guaranteed Funds" International Review of Economics and Finance,5(3)：259-268.
8. Mark B.Garman and Steven W.Kohlhagen(1983), "Foreign Currency Option Values", Journal of International Money and Finance,2：231-237.
9. McConnell,J.J.,and E.S.Schwartz(1999), "LYON Taming," Journal of Finance 41：237-268.
10. Phelim P.Boyle(1977), "Options: A Monte Carlo Approach", Journal of Financial Economics 4：323-338.
11. Ito,K.(1951). "On stochastic differential equations. Memoirs", American Mathematical Society 4,1-51.
12. Longstaff, F. and Schwartz, E. (2001). "Valuing American options by simulation：A simple least-squares approach. " Review of Financial Studies 14, 113-147. |
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit