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.
Highlights
The term financial engineering is associated with innovation
In this paper we propose the new discount basket certificate using the two-asset correlation options
We evaluate the profitability of the new discount basket certificates I5 and I6 from the investor’s point of view
Summary
The term financial engineering is associated with innovation. It implies a search for new solutions to risk-management or investment problems, often a design of innovative products so called structured products. Structured products consist of multiple instruments that at least one is a derivative, usually an option. Option components are important tools of financial engineering. Structured products offer to open positions in options or to implement complex option strategies without the option exchange access. The resulting products enable investors to make investments consistent with their market expectations and investment needs that cannot be satisfied by investing directly in the single investment
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