The Valuation and Analysis of Principal Guaranteed Notes

• Main Authors: Chung-Lin Ho, 何宗霖
• Other Authors: Ting-Pin Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/24796131206162867289

碩士 === 國立臺北大學 === 統計學系 === 98 === 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.