券商集合理财产品定价分析

发布时间：2018-04-08 12:36

本文选题：券商集合理财产品定价　切入点：提前转开条款　出处：《苏州大学》2013年硕士论文

【摘要】：本文假设股票价格服从几何布朗运动，以光大阳光集合理财产品为背景，在风险中性概率测度下，研究了无提前封转开条款“一触即发”式封转开条款和“累计时间”式封转开条款下投资者平均权益价值的定价问题，建立模型并给出了“无提前封转开条款”“一触即发”式封转开条款下的定价公式，用Monte carlo方法求解了“累计时间”式封转开条款下的定价问题，结合实际数据比较了三种模型，给出了投资者的平均权益价值曲线，测试了“累计时间”式封转开条款下模型对相关参数的变化.
[Abstract]:In this paper, we assume that the stock price from geometric Brownian motion, based on Everbright Sunshine aggregate financial products, under the risk-neutral probability measure, study no pre-closure transfer clause?In this paper, the pricing problem of the average equity value of investors under the terms of "hair-trigger" closure and "cumulative time" closure is established, and the "no-advance closure and opening clause" is given.The pricing formula under the "hair-trigger" closure and opening clause is solved by Monte carlo method. The three models are compared with the actual data, and the average equity value curve of the investor is given.The variation of the model parameters under the "cumulative time" closure clause is tested.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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