本文關(guān)鍵詞：基于黃金看漲期權(quán)的結(jié)構(gòu)化金融衍生產(chǎn)品定價(jià)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：結(jié)構(gòu)化金融產(chǎn)品市場是國際金融衍生品市場的一個(gè)重要組成部分。金融衍生產(chǎn)品的設(shè)計(jì)和定價(jià)是金融衍生產(chǎn)品研究的難點(diǎn)和核心,因此結(jié)構(gòu)化金融產(chǎn)品的設(shè)計(jì)和定價(jià)無論對于發(fā)行者還是投資者,都具有非常重要的意義。國外學(xué)者對結(jié)構(gòu)化產(chǎn)品的研究主要包括兩方面：一是從發(fā)行者角度對結(jié)構(gòu)化產(chǎn)品的定價(jià)進(jìn)行理論和實(shí)證研究；二是從投資者角度,研究某些結(jié)構(gòu)化產(chǎn)品的設(shè)計(jì)結(jié)構(gòu),以及它們之所以受歡迎的原因。目前,國內(nèi)學(xué)者主要是對結(jié)構(gòu)化金融產(chǎn)品的產(chǎn)生、發(fā)展過程和品種的類別進(jìn)行研究,對產(chǎn)品的定價(jià)和設(shè)計(jì)研究系統(tǒng)梳理的較少。 本文主要?jiǎng)?chuàng)新：首先,對國內(nèi)結(jié)構(gòu)化產(chǎn)品設(shè)計(jì)原理進(jìn)行了深入分析；其次,通過兩種不同定價(jià)方法研究了一款結(jié)構(gòu)化理財(cái)產(chǎn)品的定價(jià)問題,并對相應(yīng)的結(jié)果進(jìn)行了分析。文中選取了招商銀行一款與黃金看漲期權(quán)掛鉤的結(jié)構(gòu)化理財(cái)產(chǎn)品,分別采用蒙特卡洛模擬和改進(jìn)B-S模型(修改了終值條件進(jìn)行重新推導(dǎo))對該產(chǎn)品進(jìn)行定價(jià),實(shí)證研究發(fā)現(xiàn),蒙特卡洛模擬效果較好,是一種有效的數(shù)值分析方法,能夠處理非線性價(jià)格風(fēng)險(xiǎn)、波動(dòng)率風(fēng)險(xiǎn)、厚尾分布現(xiàn)象,并且保守來看,’利用蒙特卡洛模擬方法的計(jì)算結(jié)果更有參考價(jià)值,而改進(jìn)B-S模型得到的預(yù)期收益率偏高。最后,對兩種方法的差別進(jìn)行了討論,并根據(jù)國際市場經(jīng)驗(yàn)與國內(nèi)市場現(xiàn)狀,提出了相應(yīng)的政策建議。
[Abstract]:Structured financial product market is an important part of international financial derivatives market, and the design and pricing of financial derivatives is the difficulty and core of financial derivatives research. As a result, structured financial products are designed and priced for both issuers and investors. The research on structured products by foreign scholars mainly includes two aspects: one is the theoretical and empirical research on pricing of structured products from the perspective of issuers; The second is to study the design structure of some structured products and the reasons why they are popular from the perspective of investors. At present, domestic scholars mainly produce structured financial products. Research on the development process and category of products, the pricing and design of the product research system combing less. The main innovations of this paper are as follows: firstly, the principle of domestic structured product design is deeply analyzed; Secondly, the pricing problem of a structured financial product is studied through two different pricing methods. And the corresponding results are analyzed. In this paper, we select a structured financial management product linked to gold call option of China Merchants Bank. Monte Carlo simulation and modified B-S model are used to price the product. The empirical study shows that Monte Carlo simulation is effective. It is an effective numerical analysis method, which can deal with nonlinear price risk, volatility risk, thick tail distribution phenomenon, and conservative use of Monte Carlo simulation results are more valuable. At last, the difference between the two methods is discussed, and the corresponding policy suggestions are put forward according to the experience of international market and the present situation of domestic market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.9

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本文編號：1427820