Pricing the structured notes—Take a fx-linked deposit as an example
碩士 === 國立臺北大學 === 統計學系 === 98 === This research paper is to study the characteristics of the structured notes. Accoding to this study, the supervisors are able to design the policy while the market investors are capable to understand the investment nature of the structured notes. Furthermore, this p...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69336777952621938737 |
| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 98 === This research paper is to study the characteristics of the structured notes. Accoding to this study, the supervisors are able to design the policy while the market investors are capable to understand the investment nature of the structured notes. Furthermore, this paper provides the knowledge for helping investors when they purchasing the financial products.
Black-Scholes pricing model is the fundation of computing the price of the derivative commodity and the biggest advantage of this model is to provide a closed form solution along with an exact price of an option. This pricing model can hedge the risk by signing property and cash constituting an investment profolio.
Black-Scholes pricing model assumed：
1、The risk-free ratio is a constant and known.
2、The distributing is complying with Geometric Brownian motion.
3、No dividend.
4、No cost when trading stocks or options.
This research aims to evaluate two FX LINKED DEPOSIT from particularly anonymous bank and to study the pricing, dead-line and credit level from publisher's standpoint. The content includes：
1、An instruction of the nature and the sort of structured notes.
2、An instruction of the nature and the sort of FX LINKED DEPOSIT.
3、To provide the closed form solution for principal guaranteed Notes and fixed income structured notes based on the Black-Scholes pricing model.
4、To introduce the real products that are sold in the bank and to analyze the design and structure in order to provide more innovative financial products.
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