对两类挂钩股票理财产品的定价研究

发布时间：2018-04-09 00:35

本文选题：挂钩股票票据　切入点：PTN　出处：《上海交通大学》2013年硕士论文

【摘要】：结构性票据及股票挂钩票据在中国只有很短的历史。目前中国较为流行的股票挂钩票据可以分为三类。目前国内的研究主要集中于分享股票收益型的票据，对于价格触发收益票据（PTN）和差异触发票据（部分是IBN）的定价和对冲的研究非常少见。同外资机构相比，国内机构定价和对冲的技术相对落后和缺乏。本文分别挑选了两个上述票据的例子，，使用了蒙特卡罗模拟的方法来评估这些产品的回报率，并给出他们的理论价格。结果表明，PTN被过高定价：其公允价格0.9793美元；如果要公允价格为1美元，则每个时期的触发回报率应为3.73％。IBN的价格也明显高估。模拟结果表明，该产品的预期回报率只有约0.19％。如果不对产品做出改变，则公允价格是0.9772元。如果要使公允价格为1元，则最高回报率应提高到32％。有些结构类产品，包括这两个产品，给投资者过低回报甚至使投资者蒙受大的损失，会导致银行和投资者之间的冲突。从银行长远利益出发，银行应该对这类产品和服务都做出调整。
[Abstract]:Structured notes and stock-linked notes have only a short history in China.At present, China's more popular stock-linked notes can be divided into three categories.At present, the domestic research mainly focuses on the paper that shares the stock income. The research on the pricing and hedging of the price-triggered income note (PTNN) and the differential-triggered note (part of IBNs) is very rare.Compared with foreign institutions, domestic institutions pricing and hedging technology is relatively backward and lack.In this paper, two examples of the above mentioned instruments are selected, and the Monte-Carlo simulation method is used to evaluate the return rate of these products, and their theoretical prices are given.The results show that 3.73%.IBN is overpriced: its fair price is $0.9793; for a fair price of $1, the trigger rate of return for each period should also be significantly overvalued for 3.73%.IBN.The simulation results show that the expected rate of return of the product is only about 0.19.If you do not change the product, the fair price is 0.9772 yuan.If you want a fair price of $1, the maximum rate of return should be increased to 32.Some structural products, including these two products, give investors too low returns and even make investors suffer great losses, which can lead to conflicts between banks and investors.In the long-term interest of banks, banks should adjust to these products and services.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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