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Financial Engineering With Options and Its Implementation for Issuing of New Financial Innovations

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  • Martina Bobrikova
  • Monika Harcarikova

Abstract

The purpose of the paper is to focus on innovative structured products − investment certificates. The paper shows the creation techniques of a new discount basket certificate using two-asset correlation options, which play the central role in financial engineering. The possibilities of investment using given certificates are investigated for potential investors.

Suggested Citation

  • Martina Bobrikova & Monika Harcarikova, 2017. "Financial Engineering With Options and Its Implementation for Issuing of New Financial Innovations," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 13(3), pages 7-18.
    • Handle: RePEc:mje:mjejnl:v:13:y:2017:i:3:p:7-18
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    References listed on IDEAS

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    1. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
    2. Breuer, Wolfgang & Perst, Achim, 2007. "Retail banking and behavioral financial engineering: The case of structured products," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 827-844, March.
    3. Rossetto, Silvia & Bommel, Jos van, 2009. "Endless leverage certificates," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1543-1553, August.
    4. Benet, Bruce A. & Giannetti, Antoine & Pissaris, Seema, 2006. "Gains from structured product markets: The case of reverse-exchangeable securities (RES)," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 111-132, January.
    5. C. Atkinson & P. Ingpochai, 2012. "The Effect of Correlation and Transaction Costs on the Pricing of Basket Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(2), pages 131-179, June.
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