High Interest Rate Structured Product Design And Development Based On The Stocks In Food And Beverage Industry

I separate my thesis into two parts. The first is about the theory of the structuredproducts (from Chapter one to Chapter four), including literature review, structuredproduct characteristics and their pricing theories. In the literature review, I find thatfew of the domestic researches have analyzed the effects of the characteristics of thestructured products. With regard to the structured product characteristics, I studythe yield structure, categories and history of these products. Next, I focus on thepricing of the structured products.The second part is about a specific structured product (Chapter five). In myproposed product, I meet the demand of the lower cost of buying a booming industrystocks–foot and beverage industry stocks-in china by using the worst of N-assetoption. I have elaborately selected five stocks in this industry. They are Yili Group(伊利股份, SSE:600887), KweiChow Maotai (贵州茅台,SSE:600519), Fuling Pickle(涪陵榨菜, SSE:002507), Haoxiang Ni (好想你,SSE:002582) and Shuanghui Group(双汇发展, SSE:000895). I use the worst of N-asset option as my benchmark payoffrate to construct my product. Based on that, I decompose the structured product intothree cash flows: first-year interest, second-year interest rate and final principalpayment. The product is not a guaranteed product and has relatively high risk. I useMonte Carlo method to compute the value of the product, which has the lowest costamong all types of the benchmark payoff rate products listed in my thesis. After that, Irecompute the price of the structured product with different hurdle rate and differentcoupon rate to find out the influence of the product input parameters.