The Reseach Of Pricing Method Of Structured Mutual Index Fund In China

The structured mutual fund is developed from the traditional public funds. Through dividing the fund’s net worth into two or more parts and giving them different risk and return levels, this kind of innovative structured financial products could satisfied investors’ diversified demands. The sub-funds with low risk level usually obtain lower return, while the aggressive share usually get higher return when bearing higher risk. Among all the structured mutual funds, those based on equity index are the dominant species and receive investors’ broadly welcome.This paper studies from the pattern of income distribution and irregular obversion of structured mutual index fund, and then divides them into three categories. There are three models corresponding to different categories, they are Black-Scholes model, barrier option model and Monte Carlo simulation. Especially, this paper introduces barrier option model to price for the structured mutual index fund which with irregular obversion. At the same time, this paper also distinguished between historical average volatility and EWMA volatility in an attempt to find the optimal pricing model.