結構型商品之評價及避險策略－以價差型保本票券為例

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Title:	結構型商品之評價及避險策略－以價差型保本票券為例
Other Titles:	THE VALUATION AND HEDGING STRATEGIES OF STRUCTURED NOTES--AN APPLICATION OF PRINCIPAL GUARANTEED NOTE WITH BULL CALL SPREAD
Authors:	張榕殷 Chang, Jung-yin
Contributors:	財務管理研究所徐清俊 Ching-jun Hsu
Keywords:	保本型商品;結構型商品;連動式債券 Equity to Linked Note;Structured Note;Principal Guaranteed Note
Date:	2007
Issue Date:	2015-08-06 16:44:50 (UTC+8)
Abstract:	在台灣，結構型商品屬於一種新金融商品，其商品除了保本價值外，尚有連結到其它商品的價值。本研究主要是在探討結構型商品中，如何受不同連結標的影響的部分進而比較差異。研究標的選擇連結三種不同產業的個股，分別為金融產業(國泰金)、電子產業(台積電)及傳統產業(台泥)價差型保本票券。本研究模型使用價差型保本票券評價模型及保本票券避險模型，進行評價、避險參數、避險策略及敏感度的分析。實證結果發現：1.理論價格以台積電價差型保本票券最高，顯示風險性較高的電子個股，其票券價值較高。2.避險參數以台泥PGN最高，顯示股票價格越低的傳統個股，其風險越大。3.在避險策略中，保本價值避險部位以台積電PGN最高，表示票券發行期間無風險利率越高，所需國庫券避險部位最多。價差選擇權避險部位以台泥PGN最多，顯示避險參數最高的台泥PGN，所需股票避險部位越多。4.敏感度分析方面，三種票券的理論價格、避險參數及避險部位受標的股價及股價波動率的影響，都呈現先遞增後遞減現象，其影響區間介於下限執行價和上限執行價之間。　　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.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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