| 多资产的股票挂钩保本型理财产品定价研究 |
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| 引用本文： | 陈金龙,任敏.多资产的股票挂钩保本型理财产品定价研究[J].管理科学学报,2011,14(11). |
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| 作者姓名： | 陈金龙 任敏 |
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| 作者单位： | 华侨大学工商管理学院,泉州,362021 |
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| 基金项目： | 国家自然基金资助项目(70573033); 福建省高等学校新世纪优秀人才支持计划资助项目(07FJRC08) |
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| 摘 要： | 结构性理财产品定价的核心问题是收益函数的确定,定价技术难点在于资产相关性的处理.应用Cholesky分解方法,先解决资产间的相关性问题,然后针对多资产保本型股票挂钩结构性产品收益函数特点,利用蒙特卡罗方法对其进行定价.最后以深圳商业银行盈丰理财0706号为例,介绍该方法的应用.结果表明,该产品定价偏高,产品实际收益率偏低.
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| 关 键 词： | 股票挂钩产品 保本型 多资产期权 定价 |
Study on pricing financial products with guaranteed equity-linked structure based on the multi-asset |
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| CHEN Jin-long,REN Min.Study on pricing financial products with guaranteed equity-linked structure based on the multi-asset[J].Journal of Management Sciences in China,2011,14(11). |
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| Authors: | CHEN Jin-long REN Min |
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| Institution: | CHEN Jin-long,REN MinCollege of Business Administration,Huaqiao University,Quanzhou 362021,Chin |
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| Abstract: | The essential problem for pricing structured financial products is how to determine profit functions,and the main key to pricing technically is how to handle the correlation between assets.The paper expounds: firstly,the correlation between assets can be solved by means of Cholesky decomposition,secondly,a multi-asset product with guaranteed capital by equity-linked structure is priced by means of Monte Carlo according to its characteristics of profit functions,and lastly,the the method is applied to the ca... |
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| Keywords: | equity-linked products guaranteed multi-asset option pricing |
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