The Utilization of Exotic Options in the Formation of Structured Products  

作　　者：Martina Rusnakova Abduhamid M. Ahmed Younis 

机构地区：[1]Technical University of Kosice, Kosice, Slovakia

出　　处：《Journal of Modern Accounting and Auditing》2012年第12期1814-1822,共9页现代会计与审计（英文版）

摘　　要：This paper deals with the issue of investment certificate formation in the financial market. Investment certificate is a type of structured products, the value of which is derived from the value of an underlying asset. The underlying asset is usually a share in a company, a basket of shares, or an entire index, etc.. It can be stated that for every estimated development of an asset （growth, fall, and stagnation） or for every attitude to risks （conservative or aggressive investors）, there is a suitable kind of certificate. The main objective is to perform an analysis of the structured product--Austria/Germany Bond 3 and its guarantee certificate construction using digital-barrier options. The authors have found an alternative opportunity to the purchase of this certificate, i.e., investment in a bank deposit, together with a purchase of cash or nothing down and four-knock-out call options and a sale of cash or nothing down and four-knock-out put options. The authors prove that the alternative investment has the same profit profile as the certificate. The authors made this analysis with the objective to contribute to the intellectualization of investors.

关 键 词：investment certificates vanilla options barrier options digital options profit profile 

分 类 号：O211.6[理学—概率论与数理统计] O175.8[理学—数学]