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茂矽股價指數連動公司債個案 PowerPoint PPT Presentation


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茂矽股價指數連動公司債個案. 組員 :. B9335079 陳煖婷 B9335081 王琳惠 B9335091 游雅婷 B9335093 簡鴻萍 B9335108 李青娜 B9335114 王美珍. 簡介.

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茂矽股價指數連動公司債個案

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5925175

:

B9335079

B9335081

B9335091

B9335093

B9335108

B9335114


5925175


5925175


5925175

8820

(1)A~I

(2)A~HI


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(3)


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1.

()0.11bpbpbpbp(basis point)0.01%9%10

2.6.80%()()

3.()

4.


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  • i=Min[6.8%+Max(Iimax-K,0)0.1bp,9%]

    =6.8%+ Min[Max(Iimax-K,0)0.1bp,2.2%]

    6.8%


Lookback option

()(Lookback Option)

  • Max(STSmin,0)

    Max(SmaxK,0)


Asian option

()(Asian Option)

:

  • (1)

    CT=Max[(K),0]

    (2)

    CT=Max[(ST),0]

    3


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()

  • (Capped Call Option)

    STK KSTS*

    CT S*K KS*ST

    0 STK

9%2,2009%9%2,200


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:

106.8%19991202(1999118)6,3773

3%306.1%1990719981230102


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:

1.

2.()

3.


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()

1.62

2.9/

3.

()

1.S&P 500

2.

3.

4.


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()

1.62

2.9/

14.16%17.08%


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3.

100%


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()

1.S&P 500

S&P 500SPINSPINS&P 500

2.

5.530S&P 5005.5


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3.

6.75%1.35DEC

4.


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::1,000Ex: 31025020500


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:(1)()2.05%(2)(3)22


The end

The End


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