文章基本信息

标题：New Modifications of Express Certificates on Two Assets
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作者：VINCENT SOLTES ; MONIKA TIMKOVA ; VERONIKA GICOVA 等
期刊名称：Montenegrin Journal of Economics
印刷版ISSN：1800-5845
电子版ISSN：1800-6698
出版年度：2019
卷号：15
期号：4
页码：113-129
DOI：10.14254/1800-5845/2019.15-4.9
出版社：Economic Laboratory for Transition Research Podgorica
摘要：The aim of the paper is to focus on modifications of express certificates. The paper shows the creation techniques of a new express certificate using two-asset correlation options and barrier options, which play the central role in financial engineering. Different possibilities of investment are investigated for the issuers and potential investor's point of view. Methodology of the paper is based on European style two-asset correlation options whose payoff is based on two underlying assets with two strike prices and barrier options. Due to the lack of real-traded two asset correlation options and barrier options, own calculations of option premiums are processed in MS Excel and statistical program R. Also, the pricing of the new express certificate with different parameters is examines with the showing of cost and profits for issuer and investor. Theoretical value of the modifications of express certificate with different levels of its parameters on the stocks Sanofi S.A. and Nestle S.A is obtained and it is performed the analysis of the profitability for to the issuer and investor at the maturity date. There is showed which parameters the investor should pay attention when deciding to invest into the given express certificate. Specific characteristics of proposed express certificate and its modification are pointed out and compared to each other. Also, minimum profit for issuer and for the investor in an ideal situation is presented. Proposed certificates can be part of a personal investment portfolio.
关键词：Structured product; express certificate; two;asset correlation option; barrier option; option pricing; payoff profile