Structured Financial Derivative Pricing Based On Gold Call Option

Structured financial products market is an important part of the international financial derivatives market. Product design and pricing are the core of financial derivatives, so structured financial products design and pricing are very important both for the issuers and investors. Foreign scholars research mainly include two aspects. First, pricing theory and empirical study from the perspective of the issuers. Second,the product design of certain structured products, and the reasons why they are popular from the view of investors. At present, the domestic scholars mainly focus on the development and categories of structured financial products,don’t have enough in-depth study on product design and pricing.The innovation of this paper. First, in-depth analysis of domestic structured financial products market including development and product design.For another, use two different pricing methods to study a structured financial products.This paper selected China Merchants Bank a gold call options linked structured financial products,using Monte Carlo simulation and B-S model to study the pricing of the structured product respectively. The results prove Monte Carlo simulation is an effective numerical methods to deal with non-linear price risk, volatility risk, fat tail distribution.From the conservative point of view, the Monte Carlo simulation has more reference value,and B-S model overestimate the yield. Finally, the differences between the two methods are discussed, and this paper give policy recommendations in accordance with international market experience and the domestic market situation.