多資產股權連結結構型商品的評價與敏感性分析

• Main Authors: Chih-Hsuan Lin, 林志炫
• Other Authors: Wen-Ming Szu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/44090712110015645983

碩士 === 國立高雄第一科技大學 === 金融研究所 === 104 === This study presents the pricing and sensitivity analysis of the multi-equity-lined structural notes by Monte Carlo simulation using copula model. We investigate the effects of correlation coefficient, volatility, number of underlying equities and interest rate to the multi-equity-lined structural notes. We find the price can be unfair to investors. We also find the price of the structural note increases as the correlation among underlying assets increases, but the other three parameters, including volatility, the number of underlying equities, and interest rate, are negatively correlated with the price of the structural note.