The Research Of Design And Pricing Method Of Structured Mutual Fund In China

Structured mutual fund is one kind of innovative structured financialproducts in China. It divides the mother-fund into sub-funds withdifferent risk levels according to different return modes. The sub-fundwith low risk level normally obtains stable return decided in advance,while that with high risk level has to obtain its share of the mother-fundreturn after the previous one.This thesis introduces the background and development status ofstructured mutual fund in China, and generalizes current products inmarket. Meanwhile, it summarizes the design features of structuredmutual fund and analyzes qualitatively the impact of the features to themarket price. It also uses Black-Scholes model and Monte Carlosimulation to calculate the theoretical price, and calibrates the resultsusing linear regression with actual market price, which finds thattheoretical pricing is more suitable for high-risk sub-fund. Finally, thisthesis discusses the relationship among the leverage, theoretical price andactual price.