时变波动率下外币区间理财产品定价研究  

Research on Pricing of Foreign Currency Interval Wealth Management Products under Time-Varying Volatility

作　　者：代洪梅 金良琼 

机构地区：[1]贵州民族大学,数据科学与信息工程学院,贵州 贵阳

出　　处：《应用数学进展》2020年第5期640-650,共11页Advances in Applied Mathematics

基　　金：贵州省科学技术基金项目(No.黔科合J字[2015]2076),贵州省教育厅青年科技人才成长项目(No.黔教KY字[2016]168)。

摘　　要：本文在时变汇率模型下,对挂钩单资产的外币理财产品进行了定价研究。考虑到该类理财产品的价格不光受挂钩风险资产价格的影响,还受汇率的影响,其定价更加复杂,定价解析式难以得到,故利用蒙特卡罗模拟方法对其进行定价研究。在用蒙特卡罗模拟方法进行定价研究的过程中,利用Cholesky分解释放风险资产和汇率间的相关性,并且选取了一款挂钩黄金的外币理财产品进行了实证分析。In this paper, under the time-varying exchange rate model, pricing research on foreign currency wealth management products linked to single assets is carried out. Considering that the price of this type of wealth management product is not only affected by the price of linked risk assets, but also by the exchange rate, its pricing is more complicated, and the pricing analytical formula is difficult to obtain, so we use Monte Carlo simulation to study its pricing. In the process of pricing research using Monte Carlo simulation, Cholesky was used to decompose and release the correlation between risk assets and exchange rate, and a foreign currency wealth management product linked to gold was selected for empirical analysis.

关 键 词：外币理财产品 汇率模型 蒙特卡罗模拟 CHOLESKY分解 

分 类 号：F83[经济管理—金融学]