發(fā)布時間：2018-09-18 10:07

【摘要】：在資產(chǎn)通脹風險日益增加的背景下,如何設(shè)計出更加符合市場的結(jié)構(gòu)性理財產(chǎn)品并給予其合理定價是目前亟待解決的問題。運用金融工程組合分解技術(shù)構(gòu)建一種創(chuàng)新型冪式雙障礙敲出期權(quán),該期權(quán)可以作為銀行結(jié)構(gòu)性理財產(chǎn)品的內(nèi)嵌期權(quán),從而獲得一種創(chuàng)新型冪式雙障礙理財產(chǎn)品,運用風險中性定價理論將復平面的圍道積分應(yīng)用于Laplace逆變換給出期權(quán)定價模型,以中國銀行HJB0903v為例,研究中國規(guī)避通脹風險的黃金掛鉤雙障礙理財產(chǎn)品定價的合理性,并分析黃金價格波動對HJB0903v觸及障礙的概率和理論價格的影響。研究結(jié)果表明,產(chǎn)品發(fā)行價格稍高于其理論價值,隱含溢價率為0.81%;波動率的增加使觸及障礙的概率增加,使理論價格先小幅增加后大幅降低,最終趨于某一穩(wěn)定值。
[Abstract]:Against the background of the increasing risk of asset inflation, how to design a more market-oriented structured financial management product and give it a reasonable price is an urgent problem to be solved. An innovative power-type double-barrier knockout option is constructed by using financial engineering combination decomposition technology. This option can be used as embedded option of bank's structural financial products, and thus an innovative power-type double-barrier financial product can be obtained. In this paper, the risk neutral pricing theory is applied to the Laplace inverse transformation to give the option pricing model. Taking Bank of China HJB0903v as an example, this paper studies the rationality of the pricing of China's gold linked dual-barrier financial products to avoid the risk of inflation. The paper also analyzes the influence of gold price fluctuation on the probability and theoretical price of HJB0903v reaching obstacles. The results show that the issuing price of the product is slightly higher than its theoretical value, and the implied premium is 0.81.The increase of volatility increases the probability of touching obstacles, and makes the theoretical price increase slightly and then decrease significantly, and finally tends to a certain stable value.
【作者單位】： 東南大學經(jīng)濟管理學院;南京信息工程大學經(jīng)濟管理學院;
【基金】：國家自然科學基金(71071034)~~
【分類號】：F224;F822.5;F832.48
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本文編號：2247572