A Study On The Pricing Of The Gold-linked Structured Products

Combined with the development and pricing situation of domestic and international gold-linked products,This paper takes the "peace and wealth" structured(100%Break-even pegged gold)asset management series 2015032 RMB product issued by China Ping An Bank as an example to build pricing model and calculate the price of the gold-linked products.This study uses the method of combination of the normative analysis and empirical analysis to describe the pricing process of this gold-linked product and decompose the cash flow of the gold-linked product.And uses the method of Monte-Carlo simulation to determine the cash flow of the product and use variance-reducing technique to make this simulated result accurately.Then this paper uses the model of Hull-White to determine the discount rate.Based on above methods the paper ultimately calculates the theoretical price of this product,then the paper makes the probability distribution graph of the theoretical price and return rate,at last takes sensitivity analysis for the price.The results show:The key of accurate pricing is the generation of the random number in the Monte-Carlo simulation,the variance-reducing technique can reduce the variance of the random number,so we achieve the more accurate results.The pricing results of based on the time varying volatility is lower than which is Constant Volatility.In several methods,the gold-linked product is issued at a discount,the investors can receive 1.8946%、1.9068%and 1.9805%investment rate.The initial parameters of the interest rate model have an inverse relationship with the theoretical price.