結構型商品之評價與分析-以不保本可買回連結雙標的每日計息商品為例
碩士 === 佛光大學 === 管理學系 === 103 === In this article, we want to calculate the fair price of the structure note using Monte Carlo simulation and to analysis the composition and characteristic of the note in financial markets. The interest payment of the note depends on the level of the dual currency and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98814698252805046102 |
| Summary: | 碩士 === 佛光大學 === 管理學系 === 103 === In this article, we want to calculate the fair price of the structure note using Monte Carlo simulation and to analysis the composition and characteristic of the note in financial markets. The interest payment of the note depends on the level of the dual currency and the principal is not guarantee at maturity. The valuation formulae are easy to implement in practice and the parameters can be acquired easily from the market quantities.
keywords: Structured notes、Monte-Carlo Simulation
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