臺灣博碩士論文加值系統

本篇論文將探討的兩種結構型商品--保本型股權連動債及保息型匯率連動債之特性、報酬與風險。第一個研究個案為保本型多資產股權連動商品，由於此商品收益率以及現金流量的時間點，取決於兩提前出場觀察日以及期末的累積最小月報酬率，所以此商品屬於一路徑相依商品，必須判斷是否商品會提前出場，因此，無法解出價格之封閉解，故將使用反向變異蒙地卡羅模擬法進行評價。

本文第二個個案為保息型匯率連動商品，此組合式商品為到期日才可結算，為一歐式商品，根據商品的拆解後，現金流量可視為一日圓定存加上賣一外匯選擇權(FX option)的組合，故此商品利用Fish Black與Myron Scholes在1973年發表的Black-Sholes模型假設，利用風險中立評價方法，運算求出一封閉解，並且探討此商品相關風險來源。

本文期望藉由介紹結構型商品且分析這兩種商品的收益以及風險來源，期望提供一般投資大眾能對商品有詳盡的了解，進行適當的投資決策。

This article will study two kinds of structured products: a
principal guaranteed equity-linked note and a premium guaranteed
currency-linked note, about its characteristic, reward and risk.

The first product is a principal guaranteed multi-asset
equity-linked note. This is a path dependent type of product.
The rate of return and the time point of cash flows are depended
on two early exercised dates and the final appearance of the
accumulated minimum monthly rate of return. Therefore, it must be
determined whether the occurrence of a Knock-out event or not,
and the price can't get a close-form solution. So we will use the
antithetic variate method of the monte-carlo simulation to evaluate.

The second product is a premium guaranteed currency-linked note.
This structured product should wait up to the expiration date to
exercised, which is one kind of European product.
According to the decompositions, cash flow can be considered
as a combination of one yen deposit and the purchase of a
foreign exchange option (FX option). This product uses
the Black-Scholes model assumption which is published by Fish Black and
Myron Scholes in 1973. By using risk-neutral Pricing method,
obtain a close-form solution, and consider where the related-risks
come from.

This article expect through the introduction of above products
(principal guaranteed equity-linked note and premium guaranteed
currency-linked note), everyone can know better about structured
products and make appropriate investment decisions.

第1章 緒論...................................................................1
1.1 研究背景.....................................................1
1.2 研究動機.....................................................2
1.3 研究目的.....................................................3
1.4 研究架構.....................................................4
第2章 商品介紹與文獻回顧..................................................................5
2.1 研究背景.....................................................5
2.2 結構型商品介紹...............................................10
2.2.1 數值方法相關文獻.......................................11
2.2.2 外匯型商品相關文獻......................................12
第3章 研究方法.......................................................13
3.1 評價方法....................................................13
3.1.1 Ito Process..........................................13
3.1.2 Ito’s Lemma(Ito’s 定理)...............................14
3.1.3平睹過程評價方法(Martingale Pricing Method).............15
3.2 數值方法....................................................17
3.2.1 股價模型..............................................17
3.2.2 蒙地卡羅模擬法之介紹....................................18
3.2.3 蒙地卡羅模擬法之優缺點..................................19
3.2.4 單資產的蒙地卡羅模擬步驟................................20
3.2.5 多資產的蒙地卡羅模擬步驟................................20
3.2.6 反向變異法(Antithetic Method).........................22
第4章 保本型股權連結債券之評價與分析...................................23
4.1 商品介紹....................................................23
4.1.1 商品說明書............................................23
4.1.2 產品特色及收益分析.....................................25
4.1.3 風險分析..............................................27
4.2 回溯測試....................................................28
4.3 商品評價....................................................30
4.3.1 商品拆解..............................................30
4.3.2 資料蒐集..............................................32
4.3.3 參數設定..............................................33
4.3.4 評價過程..............................................34
4.3.5 評價結果..............................................37
4.4 敏感度分析...................................................38
4.5 商品實際狀況.................................................41
4.6 本章小結....................................................43
第5章 保息型匯率連動債券之評價與分析....................................45
5.1 商品介紹....................................................45
5.1.1 商品特性..............................................45
5.1.2 商品說明..............................................45
5.1.3 投資報酬情境分析.......................................46
5.1.4 風險分析..............................................47
5.2 商品評價....................................................48
5.2.1 商品評價公式推導過程....................................48
5.2.2參數設定與評價結果.......................................54
5.3 敏感度分析...................................................54
5.4 本章小結....................................................58
第6章 結論..........................................................60
參考文獻........................................................61

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