Pricing And Empirical Study Of Structured Investment Product

The first structured investment product is SPIN which was issued by Salomon Brothers in 1986.Now these structured investment products play a very important role in modern financial market. In essence, a structured investment product is a combination of a fixed-income product and derivative contract. Because of their flexible design, structured investment products could bring satisfaction to different investors with different risk preferences and income requirements, and become more and more popular.In this paper, we study pricing of stock index-linked structured investment product. At first, we assume the interest rate follows a random interest rate model, and then derived the price of this product through change of numeraire and risk-neutral model. After we get the value expression of this product, we carry on the empirical study. We simulate returns to investors by Monte Carlo method to analysis value of this structured investment product and prove the reasonableness of this pricing model.