The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities

• Main Authors: Pai-Chen Lo, 羅百蓁
• Other Authors: Chung-Gee Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/36133306660571004341

碩士 === 東吳大學 === 財務工程與精算數學系 === 100 === This thesis employs the idea of foreign currency guaranteed structured product, assuming that the underlying stock index and exchange rate are stochastic .We also analyze the volatility of stock and exchange rate of the product follows stochastic volatility process which proposed by Heston(1993).The Monte Carlo simulation method are also employed for pricing and assessing the Value at Risk (VaR) of the product. Moreover, regression model and sensitivity analysis are applied to explain the degree of size and direction of various parameters of the price and VaR. Therefore, the study results provide reference on the investment of related products.