Proposal of new outperformance certificates in agricultural market

摘要

The paper analyses new structured financial products in agricultural market with the aim to gain in the declining trends. There are presented the reverse outperformance and the capped reverse outperformance certificates from the point of view of their investors and provided detailed descriptions of the profit functions in the analytical form. It is shown that the payoff of these certificates is an engineered from a combination of the traditional financial instrument and derivative products, especially the vanilla options. Further, there are developed formulas for pricing of these certificates and specified the conditions under which the issuer is profitable in the primary market. Also the profitability for the individual investor at the future trade date is presented. Several certificates for these types of certificates associated with the soybean futures contracts are designed and compared with the best results for the investor. The presented approach is based on the soybean options contracts traded on the Chicago Board of Trade.