| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 93 === In recent years, structured products, which highlighted the characteristics of both capital protection and high-return potential, has become one of the most popular instruments in Taiwan financial market. It is because the change of investment environment，investors now have to take more risk to get the same return. So the structured products have tremendous attractive power to risk-aversion investors.
Since there are various types of structured products in the market, the study chose equity index linked principal guaranteed notes (PGNs) as the object at first, then discuss how the embedded options, including European option, Asian option, barrier option, lookback option and binary option, influence the value of PGNs. In the next place, sensitivity analysis is used to find the key factors. At last, we blend the additional contract terms, containing call provision and put provision, separately into the original PGN one, to observe the implied risk in the product. For most of exotic options have no closed form solution in pricing, quasi Monte-Carlo simulation methods, cooperated to the given interest rate model and stock price model, was used through the whole evaluation process.
According to the results of simulation, different types of options will vary the value of PGNs. And under the same contract terms and economical conditions, the principal guaranteed product with lookback property will be the most valuable one.
From the aspect of external economical factors, interest rates variables have the limited effect toward the PGNs’ value, but the parameters of stock price model, especially the volatility of stock index return and correlation coefficient between the stock index and interest rate, have obvious influence on it. As to the product contracts, investors should choose the products with appropriate principal protected rate first, then pick up one with the higher participation rate or other better contract terms from them. At last, investors shouldn’t ignore the attached contract terms, call provision and put provision, they also have the considerable effect on PGNs’ value.
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