“结构性存款”衍生品定价通用模型  

A Common Pricing Model for"Structured Deposit"Derivatives

作　　者：王长松 

机构地区：[1]中国银行全球市场部

出　　处：《中国货币市场》2020年第2期37-42,共6页China Money

摘　　要：作为利率市场化进程重要先行者的结构性存款挂钩产品较复杂,呈现路径依赖、多观察窗口等特征,并要求紧跟市场热点快速研发部署金融模型。文章提出“蒙特卡罗模拟”数值方法能适用于衍生品定价的最新发展要求,并阐述了其定价逻辑和优化思路。文章进一步以案例解释了其实务应用。Structured deposits linked products,as the important first movers in the process of interest rate liberalization,arecomplex,which shows the following characteristics:it is path-depended and has multiple observation windows.Itrequires to develop financial models quickly to closely follow market concerns.The article proposes that the numericalmethod based on"Monte Carlo Simulation"can meet the latest requirements for pricing derivatives.It explains thepricing logic and the ideas to improve the model.It further discusses its practical applications with case analyses.

关 键 词：结构性存款 利率市场化进程 衍生品定价 优化思路 蒙特卡罗模拟 金融模型 实务应用 通用模型 

分 类 号：F830[经济管理—金融学]