Pricing Of A Golden-linked Structured Product Based On Prospect Theory

Structured financial products in China continue to develop,increasingly become the focus of financial management.The development of foreign structured products is longer,and many scholars have used behavioral finance theory to study the structured products.Interiorly the research time of the structured products is short,and most of them are the research on the distribution,market size and product type and structure of the bank's structured financial products already in the market,and apply the behavioral finance to the structured Product research is still relatively small,the study is not comprehensive enough.Firstly,this thesis summarizes the current domestic and foreign research status of structured financial products and prospect theory,expounds the related theories of structured products,and the basic contents of foreground theory and cumulative prospect theory,and then introduces the pricing process of structured financial products and common model.Then,the GARCH model is used to describe the price fluctuation of the gold price,and then the Monte Carlo simulation is used to analyze the structure of the product under the assumption of risk neutrality and prospect theory.Compare and explain the possible reasons for the different pricing results.Finally,the sensitivity of the Prospect theory parameter is analyzed.In short,this thesis applies the prospect theory to the pricing of structured products,and integrates irrational factors into the pricing model,which is of great practical significance.