Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
En studie av prissättningen av strukturerade produkter på den svenska finansiella marknaden
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2016 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Pricing structured products on the Swedish financial market (English)
Abstract [sv]

Denna studie syftar till att undersöka marknaden för strukturerade produkter i allmänhet och prissättningen av aktieindexobligationer och warranter i synnerhet. Priset på aktieindexobligationer beräknas med Black­Scholes­Mertons modell för prissättning av optioner tillsammans med obligationsteori och prissättningen av warranter modelleras även den med Black­Scholes­Merton. Därigenom undersöks huruvida de fyra svenska storbankernas angivna arrangörsavgifter stämmer väl överens med de estimerade reella avgifterna enligt finansiell teori. Resultatet visar att de estimerade reella avgifterna på generell nivå överstiger vad som har angetts i produkternas villkor. Studien kopplar vidare resultatet till bankernas förhållningssätt till den finansiella marknaden för strukturerade produkter, sett utifrån ett CSR­perspektiv, och undersöker hur rättvis marknaden är för privata investerare. Slutsatsen är att bankerna på senare tid har gjort framsteg inom CSR, med nya krav och regler, men att det fortfarande finns förbättringspunkter om marknaden för strukturerade produkter ska bli fullt transparent och rättvis.

Abstract [en]

This study aims to analyse the market for structured products in general and the pricing of equity­linked bonds and warrants in particular. The price of the equity­linked bonds is calculated combining the Black­Scholes­Merton’s model for pricing options with bond theory and the pricing of warrants is also modeled with Black­Scholes­Merton’s model. Thereafter the study examines whether the four major Swedish banks’ stated arrangement fees are consistent with the true estimated fees according to financial theory. The result indicates on a general level that the true fees exceed the fees that are stated in the term sheets of the products. The study further connects the result to the banks’ way of conducting business on the financial market for structured products, viewed from a CSR perspective, and analyses how fair the market is for private investors. The conclusion is that the banks have made progress with regards to CSR in recent years, with new laws and regulations in place. However there is still aspects that can be improved for the market of structured products to become more transparent and fair.

Place, publisher, year, edition, pages
2016.
Series
TRITA-MAT-K, 2016:26
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-188989OAI: oai:DiVA.org:kth-188989DiVA: diva2:942572
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2016-06-25 Created: 2016-06-25 Last updated: 2016-06-25Bibliographically approved

Open Access in DiVA

fulltext(1694 kB)106 downloads
File information
File name FULLTEXT01.pdfFile size 1694 kBChecksum SHA-512
d7a64a9a112bc5edbb82b14a4efdb980d7dd8f4cc8250e7cfe1476ad0add9a7193848dee7e17710c42525453bbbad79a2d90363f0e961fca97da3248b06aee7c
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 106 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 198 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf