出版社：Economic Laboratory for Transition Research Podgorica
摘要：The aim of the paper is to focus on modifications of express certificates.
The paper shows the creation techniques of a new express
certificate using two-asset correlation options and barrier options,
which play the central role in financial engineering. Different possibilities
of investment are investigated for the issuers and potential
investor's point of view. Methodology of the paper is based on European
style two-asset correlation options whose payoff is based on
two underlying assets with two strike prices and barrier options. Due
to the lack of real-traded two asset correlation options and barrier
options, own calculations of option premiums are processed in MS
Excel and statistical program R. Also, the pricing of the new express
certificate with different parameters is examines with the showing of
cost and profits for issuer and investor. Theoretical value of the
modifications of express certificate with different levels of its parameters
on the stocks Sanofi S.A. and Nestle S.A is obtained and it
is performed the analysis of the profitability for to the issuer and
investor at the maturity date. There is showed which parameters the
investor should pay attention when deciding to invest into the given
express certificate. Specific characteristics of proposed express
certificate and its modification are pointed out and compared to
each other. Also, minimum profit for issuer and for the investor in an
ideal situation is presented. Proposed certificates can be part of a
personal investment portfolio.
