Study On Pricing Method Of Stock Index Classification Fund In China

As an innovative product of the fund market,grading fund is divided into two parts by the income and risk,this feature has attracted the favor of investors on the market,so it developed well in less than ten years.Stock index grading fund is one kind of grading fund,it tracks the existing index in the stock market,buy all or part of the index weight stock to achieve the same level return of the index.This kind of grading fund was highly respected because of its advantages.At present,stock index grading fund occupies a high proportion of the grading fund market.This paper introduces the development process of grading fund,and explain the characteristics of the stock index grading fund,including leverage characteristics,net conversion,duration characteristic and fixed income characteristics.On this basis,this paper selects the huaan Shanghai-Shenzhen 300 index grading fund and xincheng CSI 500 index grading fund as a sample to price stock index grading fund.In this paper,we use B-S model,GARCH model and Monte Carlo simulation method.First of all we split the sample stock index grading fund into options,The net value of the child share can be expressed in the net of mother share and options,Then we use the B-S model to calculate the price of the call option and we can calculate the net share of the child share.The GARCH model is based on the B-S model and GARCH model can simulate a series of forward-looking volatility,we put the series of volatility into the B-S model,then we can calculate the net value of child share.Monte Carlo simulation method can be used to simulate the value of financial assets which is the path dependence.Firstly,this paper use the Monte Carlo simulation method to simulate a possible path of the mother share net,Secondly we calculate the net value of A share,Finally,calculate the net value of B share based on the relationship between the child share net value and the net value of mother share.By comparing the three pricing methods,we get the conclusions following: The B-S model and the GARCH model can be used to simulate the net value of child share,Monte Carlo simulation method can simulate the net value of A share exactly,but this method can not simulate the net value of B share.Monte Carlo simulation method is the best in the three methods to simulate net value of A share,The B-S model and GARCH model have the same effect on B share pricing.Through the study,we can find that we can choose combination of two pricing methods to simulation the net of value better.In this paper,we can find out the best pricing methods or combination to price the net value of stock index grading fund.This investment shows advice to investors in the market and recommendations to other Scholars.