The Pricing And Analyzing Of Structured Products

With the outbreak of the Great Financial Crisis in2008, as well as theanimation of the domestic financial market, the structured products aregradually be well known by Chinese citizens. Both issuers and investorsshould have in-depth understanding of structured products, which wouldbe helpful to the development of China’s financial market.This paper will study one mainstream type of structured products inmarket: partial principal guaranteed multi-stock index-linked structurednotes. This product is linked to three global indices which are Hang SengChina Enterprises Index, S&P/ASX200Index and EURO STOXX50Index; furthermore, it guarantees at least90%of principal. In this paper,we will decompose the product, evaluate it by Monte Carlo simulation, aswell as statistical methods, and analyze hedge parameters, and thenaccess the price, rewards and risks from two different views of issuersand investors.This approach is to find suitable method to evaluate and analyze the structured products, let the issuers and investors have a deeperunderstanding of the structured products’ risks and rewards, and providethem Investment and hedging strategy recommendations.