Study On The Pricing Of Gold Linked Structured Products

Gold linked structured products are new financial derivatives products, which are fixed-income products (such as deposits, zero-coupon bonds) embedded in certain financial derivatives (such as forwards, swaps, options), and linked to the price of gold. In the day of the haze of the financial crisis has not dissipated, financial markets inscrutability, there is an urgent need to use an necessary financial tools to hedge risks and to ensure increasing the value of assets. Gold linked structured product, whether as a hedge or investment tool, are favor to more and more investors'taste. Under this background, to research the gold linked structured products is necessary.This paper summarized and analyzed the gold linked structured products which issued by the Bank of China, on this basis, a reasonable classification of those products has given. Then with the application of relevant theory, to price those variously products.This paper mainly includes:Chapter one:introduced the background and significance of this study and summarized the relevant research literature. Chapter two:introduced the concept and classification of the gold linked structured product, and made a general introduction to the derivatives pricing theory involved in this paper. Chapter three to Chapter six is the core of this paper. On the basis of certain assumptions, using Black-Scholes option pricing and hedging thinking skills, we got the pricing model to the gold linked structured products. We solve the model with the flexible use of various methods of solving partial differential equations, such as the characters of S function and Fourier transform, in addition to the use of the Monte Carlo method. After the model solved, we combine the specific products to research the detailed pricing. Chapter seven summarized the study of the full text, analyzed the shortcomings of this study, and indicated the direction of the future research.