文章基本信息

标题：An Option Pricing Analysis of Exotic Bonus Certificates—The Case of Bonus Certificates PLUS
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作者：Rodrigo Hernandez ; Pu Liu
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2014
卷号：04
期号：05
页码：331-340
DOI：10.4236/tel.2014.45044
语种：English
出版社：Scientific Research Publishing
摘要：In this paper we introduce a new financial product named Bonus Certificates PLUS and we provide detailed descriptions of the product specifications. We show that the payoff of a Bonus Certificates PLUS can be duplicated by the combination of a long position in the underlying asset, a short position on zero coupon bonds, a long position in down-and-out call options on the underlying asset, a long position in down-and-in call options on the underlying asset, and a long position in the down-and-out put options. We develop a pricing formula to price the certificates. A sample of ten Bonus Certificates PLUS outstanding on December 2007 is presented as an example to examine how well the model fits empirical data. The profitability in the primary market is examined and the results show that issuing Bonus Certificates PLUS is a profitable business. The results are in line with previous studies pricing other structured products. Finally, we simulate and present the sensitivities of the certificates to changes in different pricing inputs.
关键词：Bonus Certificates; Option Pricing; Structured Products; Financial Innovation