基于黄金看涨期权的结构化金融衍生产品定价

发布时间：2018-01-15 09:54

本文关键词：基于黄金看涨期权的结构化金融衍生产品定价　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：结构化金融产品市场是国际金融衍生品市场的一个重要组成部分。金融衍生产品的设计和定价是金融衍生产品研究的难点和核心,因此结构化金融产品的设计和定价无论对于发行者还是投资者,都具有非常重要的意义。国外学者对结构化产品的研究主要包括两方面：一是从发行者角度对结构化产品的定价进行理论和实证研究；二是从投资者角度,研究某些结构化产品的设计结构,以及它们之所以受欢迎的原因。目前,国内学者主要是对结构化金融产品的产生、发展过程和品种的类别进行研究,对产品的定价和设计研究系统梳理的较少。本文主要创新：首先,对国内结构化产品设计原理进行了深入分析；其次,通过两种不同定价方法研究了一款结构化理财产品的定价问题,并对相应的结果进行了分析。文中选取了招商银行一款与黄金看涨期权挂钩的结构化理财产品,分别采用蒙特卡洛模拟和改进B-S模型(修改了终值条件进行重新推导)对该产品进行定价,实证研究发现,蒙特卡洛模拟效果较好,是一种有效的数值分析方法,能够处理非线性价格风险、波动率风险、厚尾分布现象,并且保守来看,’利用蒙特卡洛模拟方法的计算结果更有参考价值,而改进B-S模型得到的预期收益率偏高。最后,对两种方法的差别进行了讨论,并根据国际市场经验与国内市场现状,提出了相应的政策建议。
[Abstract]:Structured financial product market is an important part of international financial derivatives market, and the design and pricing of financial derivatives is the difficulty and core of financial derivatives research. As a result, structured financial products are designed and priced for both issuers and investors. The research on structured products by foreign scholars mainly includes two aspects: one is the theoretical and empirical research on pricing of structured products from the perspective of issuers; The second is to study the design structure of some structured products and the reasons why they are popular from the perspective of investors. At present, domestic scholars mainly produce structured financial products. Research on the development process and category of products, the pricing and design of the product research system combing less. The main innovations of this paper are as follows: firstly, the principle of domestic structured product design is deeply analyzed; Secondly, the pricing problem of a structured financial product is studied through two different pricing methods. And the corresponding results are analyzed. In this paper, we select a structured financial management product linked to gold call option of China Merchants Bank. Monte Carlo simulation and modified B-S model are used to price the product. The empirical study shows that Monte Carlo simulation is effective. It is an effective numerical analysis method, which can deal with nonlinear price risk, volatility risk, thick tail distribution phenomenon, and conservative use of Monte Carlo simulation results are more valuable. At last, the difference between the two methods is discussed, and the corresponding policy suggestions are put forward according to the experience of international market and the present situation of domestic market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.9

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