多资产的股票挂钩保本型理财产品定价研究

发布时间：2018-05-26 22:02

本文选题：股票挂钩产品 + 保本型　；参考：《管理科学学报》2011年11期

【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.
[Abstract]:The core problem of structured financial product pricing is the determination of income function, and the difficulty of pricing lies in the disposal of asset correlation. The Cholesky decomposition method is applied to solve the problem of the correlation between assets, and then the Monte Carlo method is used to price the multi-asset capital preserving structured product income function. Finally, the application of this method is introduced by taking Shenzhen Commercial Bank Yingfeng Financial Management 0706 as an example. The results show that the price of the product is on the high side and the real yield of the product is on the low side.
【作者单位】：华侨大学工商管理学院;
【基金】：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)
【分类号】：F224;F832.51

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