Zdrojový dokument:Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 45/2019
ISSN:1211-555X (Print)
Abstrakt:
The paper examines an analysis of leverage certificates (namely turbo
certificates), where their value is derived from an underlying asset and barrier
options. Turbo certificates are riskier financial instruments that provide much more
gains or losses due to leverage effect. There are introduced long turbo (for increasing
markets) and short turbo certificates (for markets drop). The replicating portfolios
profit is identical to a profit from the combination of an underlying asset and barrier
options as it is proved in the paper. Based on theoretical approach, replicating
portfolios for long and short turbo certificates on Google and Facebook companies
are engineered with various parameters and calculated the certificates prices and
financial leverages. Their profitability is disproportionately high what it is proved due
to low capital investment and the leverage. The main objective is to demonstrate the
nature of the given certificates creation using barrier options in an analytical form.
The use of proposed turbo certificates can be one of the alternatives for creating a
diversified portfolio for investors to reduce risk in case of unforeseen stock price
developments. The results of our analysis help the increasing of the intellectualization
of all potential investors. After that they will be able to make the best investment
decisions in future according to the expectations of UA’s price development.