基于傅里叶变换的银行触发性理财产品定价  

Pricing the Bank’s Triggered Financial Products Based on Fourier Transform Method

作　　者：王宜峰 孙雨尧 蒋一琛[3] WANG Yifeng;SUN Yuyao;JIANG Yichen(Postdoctoral Research Station of Shenwan Hongyuan Securities Co. Ltd. Antai College of Economics ~ Management, Shanghai Jiao Tong University, Shanghai 200031;Insurance School, Southwestern University of Finance and Economics, Chengdu 610000;Zhejiang Institute of Science and Technology Information, Hangzhou 310000)

机构地区：[1]申万宏源证券博士后工作站、上海交通大学安泰经济与管理学院,上海200031 [2]西南财经大学保险学院,成都610000 [3]浙江省科技信息研究院,杭州310000

出　　处：《系统科学与数学》2018年第2期236-246,共11页Journal of Systems Science and Mathematical Sciences

基　　金：江苏省高校哲学社会科学重点项目(2017ZDIXM168)资助课题

摘　　要：假定利率服从CIR过程,利用傅里叶变换方法对含有障碍期权的触发性利率理财产品进行定价.将触发性产品分解成零息债券和障碍期权两部分,利用折现的方法为零息债进行定价,利用傅里叶变换对障碍期权部分进行定价.实证部分利用一款挂钩3个月期的Shibor利率的理财产品进行检验,得到该触发性利率理财产品的理论价格,结果发现,该产品理论价格低于实际销售价格,造成这种价格偏差的原因可能是银行的利润以及定价模型和方法的选择.Assuming that the interest rate followed the CIR process, we used the Fourier transform method to price the triggered interest rate financial products with barrier options. The trigger product could be divided into two parts： Zero coupon bonds and barrier options. The price of zero coupon bonds was calculated by the discount method, and the barrier options was priced by the Fourier transform method.A financial product linked to the 3-month Shibor interest was used to do the empirical test. We used the Fourier transform method to get the theoretical price. The results showed that the theoretical price was lower than the actual sales price. The reasons for the price deviation may be the bank profits and model selection.

关 键 词：触发性利率理财产品 傅里叶变换 CIR模型 

分 类 号：F224[经济管理—国民经济] F832.2