Pricing Analysis Of Structured Financial Products Of Chinese Commercial Bank

With the continuous development of wealth management products market in China, structured financial products has gradually become the new direction of bank financial future, it has increasingly become the focus of people attention. At present, most of the literature on the study of structured financial products gathered in the yield of product, risk or some simple product pricing.This paper first explains the concept of structured products, simple classification, and the development of domestic and foreign. Then introduces the basic theory of pricing model, and make product pricing analysis according to the theory. Finally interpret the problem of the development of structured product and structured product design and put forward corresponding solutions for the steady development of structured finance products.In this paper, the key points and difficult part is the pricing part. I tried to price three kinds of structured products of XXX bank, including equity-linked, commodity-linked and FX-linked structured financial products.Price is split into two parts, the fixed-income part and option. Fixed-income part adopts the method of discount cash flow. Option respectively use two methods for product pricing:B-S option pricing formula and Monte-Carlo simulation. Monte-Carlo simulation, according to the different kinds of underlying asset volatility features, comparison of SC and AIC value, selection of proper ARCH class model to simulate the fluctuation rules of underlying asset price in the future. Finally comparing the difference of theoretical value and practical value, calculate the error of the pricing products.