多资产的股票挂钩保本型理财产品定价研究  

Study on pricing financial products with guaranteed equity-linked structure based on the multi-asset

作　　者：陈金龙[1] 任敏[1] 

机构地区：[1]华侨大学工商管理学院,泉州362021

出　　处：《管理科学学报》2011年第11期63-70,共8页Journal of Management Sciences in China

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)

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.The essential problem for pricing structured financial products is how to determine profit functions, and the main key to pricing technically is how to handle the correlation between assets. The paper expounds： firstly, the correlation between assets can be solved by means of Cholesky decomposition, secondly, a muhiasset product with guaranteed capital by equity-linked structure is priced by means of Monte Carlo according to its characteristics of profit functions, and lastly, the the method is applied to the case of Shenzhen City Commercial Bank Yingfeng financial product 0706, in which the research shows while the actual product pricing is high, the product earnings are lower.

关 键 词：股票挂钩产品 保本型 多资产期权 定价 

分 类 号：C931.2[经济管理—管理学]