Digitální knihovnaUPCE
 

Investovanie do zlata s využitím reverzných bonusových sprint certifikátov

Článekpeer-reviewedpublished
Náhled

Datum publikování

2016

Vedoucí práce

Oponent

Název časopisu

Název svazku

Vydavatel

Univerzita Pardubice

Abstrakt

This paper performs an analysis of reverse bonus sprint certificate, the value of which is derived from an underlying asset. These certificates are designed with the aim to make a disproportionately higher profit in bear market. A replicating portfolio is created using option pricing formula for price the reverse bonus sprint certificate. Profit of the replicating portfolio is identical to profit from a combination of an underlying asset and financial derivative, i.e. vanilla and barrier option as it is proved in paper. Based upon a theoretical option pricing models, the replicating portfolio for reverse bonus sprint certificate in an analytical form on SPDR Gold Shares is engineered. There is created reverse bonus sprint certificate with various parameters and calculated the issue prices at the spot market. The profitability for potential investors at the expiration period are provided. Also, the relation between the investor´s profit change and parameters are detected. There are identified the best reverse bonus sprint certificate for every estimated development of the shares with the recommendation for investors. The main aim of the paper is to demonstrate the nature of the given certificate´s creation using option strategies with the increasing of the intellectualization of all potential investors.

Rozsah stran

p. 31-42

ISSN

ISSN 1211-555X (Print)
ISSN 1804-8048 (Online)

Trvalý odkaz na tento záznam

Projekt

Zdrojový dokument

Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 38/2016

Vydavatelská verze

Přístup k e-verzi

open access

Název akce

ISBN

Studijní obor

Studijní program

Signatura tištěné verze

Umístění tištěné verze

Přístup k tištěné verzi

Klíčová slova

Reverse bonus sprint certificate, Replicating portfolio, Vanilla option, Barrier option, Option pricing, SPDR Gold Shares

Endorsement

Review

item.page.supplemented

item.page.referenced