多资产挂钩的结构性理财产品定价研究  

A Study of Pricing for Structured Financial Products Linked with Multi-asset

作　　者：方艳[1,2] 张元玺 刘津智 张洁[1] FANG Yan;ZHANG Yuanxi;LIU Jinzhi;ZHANG Jie(School of Finance,Shanghai University of International Business and Economics,Shanghai 201620,China;School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433,China;Department of Basic Teaching,Changchun College of Information Technology,Changchun 130012,China)

机构地区：[1]上海对外经贸大学金融管理学院,上海201620 [2]上海财经大学统计与管理学院,上海200433 [3]长春信息技术职业学院基础教学部,长春130012

出　　处：《复旦学报（自然科学版）》2018年第5期554-564,579,共12页Journal of Fudan University：Natural Science

基　　金：国家自然科学基金(11501355;71571116);国家社会科学基金重大项目(15ZDA058);教育部人文社会科学研究项目(15YJA790039);上海市浦江人才计划(14PJ1404100);上海市教育委员会科研创新项目(15ZZ090)

摘　　要：在多资产挂钩的结构性理财产品研究中,产品的定价问题尤为重要,而定价技术的难点在于资产相依性的刻画.首先运用Copula函数二分性解决资产间的相依性问题,然后根据多资产挂钩的标的产品收益函数特征,利用蒙特卡罗模拟方法对产品进行定价,最后对"法兴银行——2014年2年期股票指数挂钩人民币结构性理财产品"的定价进行实证研究.研究结果表明:1)Copula函数的定价低于实际价格,促使产品为溢价发行;2)Copula函数法的定价精度优于传统的Cholesky分解法;3)混合Copula函数的定价精度高于单个Copula函数的定价精度;4)混合Copula函数提高多资产挂钩的结构性理财产品的定价精度.以上发现将为今后多资产挂钩的结构性理财产品的定价模型的发展和完善提供有益的参考和指引.In the study of the structured financial products linked with multi-asset,its pricing is vitally important to set the right price,while the key is how to accurately characterize the association between assets.This paper will use Copula,which describes the dependence structure between the variables,to model the association between assets.Then a structured financial product linked with multi-asset is priced by means of Monte Carlo simulation according to its characteristics of profit functions.As a case study,the method is applied to the case of Societe Generale financial products of RMB with 2-year stock index-linked structure issued in 2014.The empirical analysis indicates that 1）the product pricing from mixed copula model is lower than the actual one,which leads to a premium pricing strategy;2）Pricing accuracy based on Copula is higher than Cholesky method;3）Pricing accuracy based on mixed Copula is obviously higher than single Copula;4）Mixed copula visibly improves the accuracy of pricing for structured financial products linked with multi-asset.This study will provide reference and guidance for the development of future structured financial products linked with multi-asset.

关 键 词：多资产挂钩结构性理财产品 混合Copula函数 多资产期权 定价 蒙特卡罗模拟 

分 类 号：C931.2[经济管理—管理学] F830.9