| Because of China's inflation rate is increasing year by year,the actual income of bank deposits often becomes negative,and the stock market ups and downs,more and more investors are turning to the financial products market.At the same time,the commercial banks to issue financial products scale rising in a straight line,it is kind of a superb collection of beautiful things,the level of risk is diversified,resulting in many investors appeared blind investment and investment of the state error.Equity linked financial products throughselecting representative pricing analysis,empirical research and Ping An Bank issuedfinancial products,to provide investors with the pricing method,so that it can be in accordance with their own needs and risk to bear ability to choose their own financial products.The main content of this paper:the pricing model and the interest rate structure at home and abroad of structured financial products were summarized and analysis,according to the analysis of the current situation of the development of China's structured financial products,at the same time the characteristics of equity linked financial products analysis.Secondly,introduces the principle of several kinds of pricing of equity linked financial products,on the basis of the pricing model.The pricing model is constructed to empirical analysis of equity linked financial products issued by banks,peace,and finally puts forward the countermeasures and suggestions and the conclusion.The main methods used in this paperare:(Monte Carlo)by using the Monte Carlo simulation method and Cholesky decompositionmethod is used to simulate the Jacobi price of the underlying stock;using HJM dynamic interest rate model to determine the discount rate;respectively for sensitivity analysis of theinitial volatility and attenuation factor,finally calculate the equity linked financial products with the theoretical value and the issue price in comparison,and draw the conclusion of financial products at a discount. |
PDF Full Text Request