外汇结构性理财产品定价的实证分析——基于蒙特卡洛方法  

An Empirical Analysis of the Pricing of Foreign Exchange Structured Financial Products:Based on Monte Carlo Method

作　　者：林高志 王荧 LIN Gao-zhi;WANG Yin(College of Economics,Fujian Normal University,Fuzhou 350108,China;Finance college,Fujian Jiangxia University,Fuzhou 350108,China)

机构地区：[1]福建师范大学经济学院,福建福州350108 [2]福建江夏学院金融学院,福建福州350108

出　　处：《福建金融管理干部学院学报》2022年第2期32-38,54,共8页Journal of Fujian Institute of Financial Administrators

基　　金：福建省创新战略研究项目(项目编号:2021R0163)。

摘　　要：我国外汇结构性理财产品市场业务总量不断扩展,投资人群增加,现存的定价模型不足适用于产品的更新迭代。本文应用Monte Carlo模拟方法,通过对挂钩标的汇率价格进行路径模拟,对汇率挂钩型的结构性理财产品的定价问题进行研究。首先建立标的资产定价模型,给出具体定价公式,通过蒙特卡洛方法模拟标的资产运动路径,折价得到产品定价,最后总结出汇率挂钩型结构性理财产品的定价系统。以2020年5月21日发行的“招商银行挂钩加元汇率结构性理财产品”为例进行实证分析,通过该定价模型结合该产品的实际数据计算出该产品的理论价格。结果表明,该产品定价偏低,折价发行,折价率0.93%,但产品折价部分可被认为是对投资者的风险补偿。故基于风险中性原理的Monte Carlo模拟定价方法也能够用于汇率挂钩型的结构性理财产品的定价问题。Applying the Monte Carlo simulation method,the pricing problem of exchange rate-linked structured wealth management products is studied by simulating the price path of the underlying assets.This paper uses the Monte Carlo method to establish a pricing model,gives a specific pricing formula,and summarizes the pricing system of exchange rate-linked structured wealth management products.Taking the"China Merchants Bank Linked Canadian Dollar Exchange Rate Structured Wealth Management Product"issued on May 21,2020 as an example,the theoretical price of the product is calculated by combining the pricing model with the actual data of the product.The results show that the product is underpriced and issued at a discounted price,with a discount rate of 0.79%,but the discounted part of the product can be considered as a risk compensation for investors.Therefore,the Monte Carlo simulated pricing method based on the principle of risk neutrality can also be used for the pricing of exchange rate-linked structured wealth management products.

关 键 词：外汇结构性理财产品 期权定价 风险中性原理 蒙特卡洛模拟 

分 类 号：F832.5[经济管理—金融学]