出版社：Economic Laboratory for Transition Research Podgorica
摘要：Purpose: The purpose of the paper is to focus on innovative structuredproducts − investment certificates. The paper shows the creationtechniques of a new discount basket certificate using two-assetcorrelation options, which play the central role in financial engineering.The possibilities of investment using given certificates are investigatedfor potential investors.Methodology: Methodology of the paper is based on European styletwo-asset correlation options in analytical expression whose payoffis based on two underlying assets with two strike prices. Due to thelack of real-traded two asset correlation option data, own calculationsof option premiums are processed in statistical program R.Also, the pricing of the new discount basket certificate is examines.Approach: Theoretical value of the new discount basket certificatewith different levels of its parameters on the stocks Facebook andGoogle is obtained and it is performed the analysis of the profitabilityfor to the investor at the maturity date. Also, there is showedwhich parameters the investor should pay attention when decidingto invest into the given investment certificate.Findings: Specific characteristics of each proposed certificate arepointed out and compared to each other with conclusion that everycertificate can be the most profitable in specific price developmentof the underlying assets, but not in every price development. Ideason how this certificate can be part of a personal investment portfolioare also presented.
