INVESTING BASED ON AGRICULTURAL STRUCTURED PRODUCTS

Monika Timková and Martina Bobriková
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Monika Timková: Faculty of Economics, Technical University of Košice
Martina Bobriková: Faculty of Economics, Technical University of Košice

Ekonomski pregled, 2023, vol. 74, issue 3, 464-484

Abstract: The paper deals with investing in agriculture based on structured products, which gains an important position in international investment for both institutional and retail investors. The aim of the paper is to present the proposal of two new types of investment certificates, i.e. Twin-Win Outperformance certificates and Capped Twin-Win Outperformance certificates, which belong to the segment of partially guaranteed investment tools due to a security buffer. The advantage the proposed certificates lies in the combination of the features of two certificates into one product. The certificates are described in an analytical form of the profit functions which are derived based on two components, i.e. the underlying asset and the derivative (used European call options and down and knock-out put barrier options) on its underlying asset. The pricing formulas are developed with a specification of the issue price sensitivity on changes in different input parameters. Opportunities to invest in these proposed certificates are being demonstrated in the agricultural market, i.e. Teucrium Corn Fund ETF, where various variants of these certificates are created based on different level of included parameters. The best results are performed with the objective to increasing of the intellectualization of all potential investors in investing to agriculture using corn futures.

Keywords: Agricultural commodity; structured product; investment certificate; vanilla option; barrier option; corn futures (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2023
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