规避通胀风险的结构性理财产品设计与定价
发布时间：2018-09-18 10:07
【摘要】：在资产通胀风险日益增加的背景下,如何设计出更加符合市场的结构性理财产品并给予其合理定价是目前亟待解决的问题。运用金融工程组合分解技术构建一种创新型幂式双障碍敲出期权,该期权可以作为银行结构性理财产品的内嵌期权,从而获得一种创新型幂式双障碍理财产品,运用风险中性定价理论将复平面的围道积分应用于Laplace逆变换给出期权定价模型,以中国银行HJB0903v为例,研究中国规避通胀风险的黄金挂钩双障碍理财产品定价的合理性,并分析黄金价格波动对HJB0903v触及障碍的概率和理论价格的影响。研究结果表明,产品发行价格稍高于其理论价值,隐含溢价率为0.81%;波动率的增加使触及障碍的概率增加,使理论价格先小幅增加后大幅降低,最终趋于某一稳定值。
[Abstract]:Against the background of the increasing risk of asset inflation, how to design a more market-oriented structured financial management product and give it a reasonable price is an urgent problem to be solved. An innovative power-type double-barrier knockout option is constructed by using financial engineering combination decomposition technology. This option can be used as embedded option of bank's structural financial products, and thus an innovative power-type double-barrier financial product can be obtained. In this paper, the risk neutral pricing theory is applied to the Laplace inverse transformation to give the option pricing model. Taking Bank of China HJB0903v as an example, this paper studies the rationality of the pricing of China's gold linked dual-barrier financial products to avoid the risk of inflation. The paper also analyzes the influence of gold price fluctuation on the probability and theoretical price of HJB0903v reaching obstacles. The results show that the issuing price of the product is slightly higher than its theoretical value, and the implied premium is 0.81.The increase of volatility increases the probability of touching obstacles, and makes the theoretical price increase slightly and then decrease significantly, and finally tends to a certain stable value.
【作者单位】： 东南大学经济管理学院;南京信息工程大学经济管理学院;
【基金】：国家自然科学基金(71071034)~~
【分类号】：F224;F822.5;F832.48
，
本文编号：2247572
[Abstract]:Against the background of the increasing risk of asset inflation, how to design a more market-oriented structured financial management product and give it a reasonable price is an urgent problem to be solved. An innovative power-type double-barrier knockout option is constructed by using financial engineering combination decomposition technology. This option can be used as embedded option of bank's structural financial products, and thus an innovative power-type double-barrier financial product can be obtained. In this paper, the risk neutral pricing theory is applied to the Laplace inverse transformation to give the option pricing model. Taking Bank of China HJB0903v as an example, this paper studies the rationality of the pricing of China's gold linked dual-barrier financial products to avoid the risk of inflation. The paper also analyzes the influence of gold price fluctuation on the probability and theoretical price of HJB0903v reaching obstacles. The results show that the issuing price of the product is slightly higher than its theoretical value, and the implied premium is 0.81.The increase of volatility increases the probability of touching obstacles, and makes the theoretical price increase slightly and then decrease significantly, and finally tends to a certain stable value.
【作者单位】： 东南大学经济管理学院;南京信息工程大学经济管理学院;
【基金】：国家自然科学基金(71071034)~~
【分类号】：F224;F822.5;F832.48
，
本文编号：2247572
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