在低利率、低報酬的投資環境，金融市場投資風險提高，如何可以賺取投資報酬又可以不用擔心投資本金損失，成為投資人最喜愛的理財需求，保本型商品也就變成市場主流。金融機構不斷研發保本型商品，結構型商品的設計越來越複雜，投資人或許清楚可獲得的投資報酬卻不瞭解其投資風險。
本篇論文透過評價與分析保本型股權連動的結構型商品，期望瞭解商品的報酬來源與參數變動對商品價值的影響。所選定的結構型商品皆為看多的保本型股權商品，是固定收益商品加上新奇選擇權買權的組合，一為喜馬拉雅選擇權，另一個為Cliquet選擇權，都是連結多資產標的的商品，無法求得商品理論價格的封閉解，所以利用蒙地卡羅模擬法進行模擬標的資產價格變動，再依據商品內容求算出商品理論價格，並探討設定參數改變與商品條款改變對商品價格的影響。

On the investment environment of low interest rate, low investment return, the investment risk of financial market is improved. How about needn't worry investing in principal losses and also can get the investment return, it become investor's favorite managing money, the principal guaranteed notes are turned into a market mainstream. The financial institution is researching and developing the principal guaranteed notes constantly, the design of the structured notes are more and more complicated, the investors may know the investment return but they can’t finding out about their investment risk.
This paper, through the valuation and analysis of the principal guaranteed notes, hope to understand this structured notes how to offer the return and how influence the product’s value is when the parameter change. The selected structured notes are the bullish principal guaranteed notes which combine ,the fixed income product and the exotic option, one is similar the Himalayas option, the another is similar the Cliquet option, both of the product link the multi-asset and they can’t derive the theory value of structured product, so it is simulated the underlying stock price by monte carlo simulation method and then to calculate the structured notes value according to the product’s term sheet and to discuss how influence the product’s value when the product’s term sheet change and the parameter change.

目錄
中文摘要.................................................Ⅰ
英文摘要.................................................Ⅱ
目錄.....................................................Ⅲ
圖目錄...................................................Ⅴ
表目錄...................................................Ⅵ
第一章、 緒論.............................................1
1.1、研究背景與動機........................................1
1.2、研究目的.............................................1
1.3、研究架構.............................................2
第二章、 文獻探討..........................................4
2.1、結構型商品介紹........................................4
2.2、保本型商品介紹........................................5
2.3、新奇選擇權...........................................11
第三章、 研究方法..........................................18
3.1、蒙地卡羅模擬法........................................18
3.2、多變數蒙地卡羅模擬.....................................20
3.3、蒙地卡羅模擬法的優缺點.................................21
第四章、 保本型股權連動商品個案分析一：持盈保泰二..............22
4.1、喜馬拉雅選擇權........................................22
4.2、保本型股權連動商品介紹：持盈保泰二.......................22
4.3、持盈保泰二商品評價.....................................27
4.4、敏感度分析............................................30
4.5、條款影響..............................................32
4.6、風險分析與避險.........................................33
4.7、到期價值分析...........................................34
第五章、 保本型股權連動商品個案分析二：雙主流...................35
5.1、Cliquet選擇權..........................................35
5.2、保本型股權連動商品介紹：雙主流............................35
5.3、雙主流商品評價..........................................42
5.4、提前出場分析............................................45
5.5、敏感度分析..............................................46
5.6、條款影響................................................48
5.7、風險分析與避險...........................................49
5.8、現況分析................................................50
第六章、 結論與建議...........................................52
6.1、結論....................................................52
6.2、建議....................................................53
參考文獻......................................................55

圖目錄
1-1 研究流程圖.............................................3
2-1 保本型商品收益圖解..........................................6
2-2買進買（賣）權損益圖.........................................8
2-3 買進多（空）頭價差損益圖.....................................9
2-4 買進觸及生效損益圖..........................................9
2-5 買進數位選擇權損益圖........................................10
2-6 買進亞式選擇權損益圖........................................10
4-1 持盈保泰二標的股票股價走勢...................................25
4-2 加權指數走勢...............................................27
5-1 雙主流標的股票股價走勢.......................................39
5-2 加權指數走勢................................................41

表目錄
4-1 持盈保泰二商品說明書.........................................22
4-2 持盈保泰二商品特性...........................................24
4-3 收益分析....................................................26
4-4 標的股票2008/10/20收盤價....................................28
4-5 標的股票報酬率標準差.........................................28
4-6 持盈保泰二報酬分析...........................................30
4-7 標的股票報酬波動度改變對商品價值的影響..........................31
4-8 全部標的股票報酬波動度改變對商品價值的影響......................31
4-9 無風險利率改變對商品價值的影響.................................32
4-10 標的股票皆列入評等對商品價值的影響.............................32
4-11 參與率的改變對商品價值的影響..................................33
5-1 雙主流商品說明書..............................................35
5-2 雙主流商品特性................................................38
5-3 標的股票報酬觀察日............................................40
5-4 收益分析.....................................................41
5-5 標的股票2008/07/21收盤價......................................43
5-6 標的股票報酬率標準差...........................................43
5-7 雙主流報酬分析................................................44
5-8 提前出場機率分析..............................................46
5-9 標的股票報酬波動度改變對商品價值的影響..........................46
5-10 全部標的股票報酬波動度改變對商品價值的影響.....................47
5-11 無風險利率改變對商品價值的影響................................47
5-12 參與率的改變對商品價值的影響..................................48
5-13 無提前出場對商品價值的影響....................................48
5-14 標的股票單月最小報酬.........................................50
5-15 提前出場觀察日累積月報酬比較..................................51
5-16 標的資產除權資料.............................................51

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