Pricing Analysis on Structured Products: An example of equity linked products

• Main Authors: Sin-Huei Huang, 黃欣慧
• Other Authors: Shin-Hung Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/k4aa87

碩士 === 國立雲林科技大學 === 財務金融系 === 103 === This study separately applies the historical and implied volatility to estimate the prices of the single equity-linked structured products and basket equity-linked structured products. And, it analyzes the performance of equity-linked structured products. The price samples of equity-linked structured products are extracted from the contracts of transaction in the market and simulative structured products of this study. The performance criterion is the root mean squared error (RMSE) of the relative error of the estimated and the sample prices. For the single equity-linked structured products, the historical volatility performs better than the implied volatility. However, the implied volatility performs better than the historical volatility for pricing the basket equity-linked structured products. Since the single equity-linked structured products had shorter time to maturity, and the basket of equity-linked structured products had longer time to expiration, thus, the historical volatility is considered to price the single equity-linked structured products and the implied volatility is considered to price the basket equity-linked structured products. The research results can provide reference information to investors while choosing customized structured products.