THE VALUATION AND HEDGING STRATEGIES OF STRUCTURED NOTES - AN APPLICATION OF PRINCIPAL GUARANTEED NOTE WITH BULL CALL SPREAD

• Main Authors: Jung-yin Chang, 張榕殷
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/w7jz56

碩士 === 南華大學 === 財務管理研究所 === 95 === 　　In Taiwan, Structured notes are new financial products. Structured notes offer investors many potential benefits. They provide principal protection at maturity and still offer investors the opportunity to participate in the growth potential of rising equity market. In this study, we discuss and compare that structured notes vary by different underlying asset. We select three different industries of principal guaranteed notes(PGN) with bull call spread which are financial industry(Cathay Financial Holdings, CFH), electronic industry (Taiwan Semiconductor Manufacturing Company, TSMC) and traditional industry (Taiwan Cement Corporation, TCC). We use the PGN pricing model and hedging model to investigate the valuation, hedging parameters, hedging strategy and sensitivity analysis. The empirical results are stated as follows: 　　 1.The PGN valuation of TCC is the highest. The results indicate that higher risk of electronic stock response higher PGN valuation. 2.The PGN hedging parameters of TCC are the highest. The results indicate that lower stock price of traditional industry response higher risk. 3.Hedging position in principal guaranteed of TSMC is the highest. The results indicate that higher free-risk interest rate responses more hedging positions of treasury bills. Hedging positions in option of TCC is the highest. The results indicate that higher hedging parameters response more hedging position of stock. 4.According to the sensitivity analysis, stock price(volatility) will influence the valuation, hedging parameters and hedging position of three PGN increases at the beginning and thereafter decreases. The effect range is between the lower limit exercise price and the upper limit exercise price.