A Study On The Pricing Of The Equity-linked Financial Products Based On The Jump-diffusion Model

With the abundant structure and flexible yields, the equity-linked financial products have become the majority of structured financial products since the China Banking Regulatory Commission allowed the banks who have derivatives business licenses to issue equity-linked financial products at the end of 2005. This paper studies the pricing of equity-linked financial products based on the jump-diffusion model, it is aimed at providing some theory reference and basis for the Chinese Commercial Banks pricing the products, and allowing investors having a deeper understanding to the designing and pricing of the products, weighing the risks and benefits and making a better investment options before making the decision.Firstly, this paper describes the method that commonly used in previous equity linked financial products pricing. Then uses the J-B statistic to verify the CSI 300 stock index is not obeying the normal distribution. So pricing the equity-linked financial products use the pure diffusion model is unreasonable. Therefore Merton jump diffusion model is adopted as the assumption of stock yield sequence.Secondly, takes Guangdong Development Bank "huanxinguwu" products 2014 fifty-second, Nanjing Bank "juxin No.8" products, Agricultural Bank of China "golden key ruyizuhe "products 2015 seventy-eight and Huaxia Bank "Huiying No.44" products. It then uses the method of calculating the yield function and Monte Carlo simulation method for studying the pricing of equity-linked financial products, and compares the income that calculated by the two methods with the actual income.Lastly, according to the results of the empirical analysis, putting forward opinions and suggestions to investors, issuers and related department, combined with present situation of equity-linked financial products in our country.