【摘要】 目前区间型结构性产品在银行理财产品中的比重不断扩大,而国内外学者对此类产品的定价研究较少,尤其对区间型股票挂钩类结构性产品的研究仍是空白。基于此,本文以区间型股票挂钩类结构性产品为研究对象,考虑到标的股票波动率和多资产相关性的动态特征,运用蒙特卡罗模拟方法,提出该类产品的定价方法,并以同类型到期产品进行定价检验。实证结果表明:约10%的区间型股票挂钩理财产品定价存在偏差。本文的研究完善和丰富了现有区间型结构性产品的定价方法,为银行金融产品的创新提供了可靠的理论基础,同时也为投资者选择投资产品提供参考和借鉴。更多还原

【Abstract】 On the one hand,interval type structured products are popular in investors;On the other hand,domestic and foreign scholars are rarely research on structured products,especially on interval type structured products.Based on this,the paper constructs a pricing method of the stock-linked financial products which considers the dynamic features of multiasset’s correlation and volatility,and simulates the product price by Monte Carlo method.An empirical analysis which is based on the structured financial products launched by Ping’An Bank is given to demonstrate the efficiency of pricing method.The empirical result shows that almost ten percent of these products are priced irrationally.The study improves the existing research on interval type financial product pricing method,and provides a reliable theoretical basis for financial products innovation in banks,and also a good way to choose structured products for investors.更多还原