Hedging Strategies of Structured Note Issuer－A Case Study of Unlimited Upside Potential Note on A Super-Financial-7 Taiwan Stock Basket Issued by Calyon Bank.

• Main Authors: Lin, Shang-Ching, 林上清
• Other Authors: Lee, Tsung-Pei
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/04474568074250944975

碩士 === 輔仁大學 === 金融研究所 === 96 === Structured notes mostly are composite of zero-coupon bond and various kinds of options. Past researchers focused more on pricing of embedded options than on dynamic hedging. This essay practically explores the differences between various hedging strategies. This case study explored the hedging methodologies of equity-linked rainbow minimum options embedded in 3-year equity-linked note issued by Calyon Bank in 2003 and linked to the performance of basket of Taiwan’s 7 selected financial holding company’s stocks. This essay figures out the theoretical value with the existing closed-form solution and the individual partial delta of the worst linked targets regarding a range of evaluating timing at the same time. The hedging operates based on the presumptive results above and then the actual revenues of the structured note issuer are analyzed in terms of different hedging strategies. The empirical study found that with limitations on short position, quarterly rebalance hedging strategy would perform better than monthly and semi-annually rebalancing hedging strategy. But, without short limitation, monthly rebalance hedging strategy would outperform other hedging strategy. Besides, issuer could get more benefit if hedge with financial index future instead of cash position.