Research On The Pricing Of Structured Fund

As an innovative fund product,structured fund has a short history in China's financial market,but it has developed rapidly.Similar to an ordinary passive index fund,the target of a structured fund is usually the index of a certain industry,sector,or theme,so as to satisfy investors' needs for investment in these fields.Different from ordinary funds,structured fund is further divided into the main share,A share and B share.The structured hierarchical design gives structured fund a leveraged character.The structural design of structured fund is relatively complex,with features such as leverage,conversion,and pairing conversion,resulting in the phenomenon that structured fund is usually discounted or premium.At present,research on the pricing of structured fund is still in its infancy,and academic research has not yet formed a unified research result.There are three main methods of the structured fund pricing,namely the Monte Carlo simulation method,the binary tree pricing model and the Black-Scholes pricing model.In this paper,the Monte Carlo simulation method is used to price structured fund.The method has a high demand for parameter selection,and the appropriateness of the selected parameters directly affects the accuracy of the simulation results.However,in the past studies on the pricing of graded funds by Monte Carlo simulation method,the annual standard deviation of the historical daily rate of return is usually used as the simplified treatment of the volatility parameter.Such simplification has been controversial in academia because the volatility of assets in reality is not a fixed constant,so such simplification cannot objectively reflect the actual fluctuation of asset prices.This paper selected three structured funds as samples and screened their sample periods to avoid the impact of the conversion points on Monte Carlo simulations.Then,we established a GARCH model for volatility and investigate the effect of the Monte Carlo simulation method with improved volatility on the pricing of structured funds by comparing actual price and the simulated price of historical volatility.The result of research shows that the Monte Carlo simulation method with improved volatility and the Monte Carlo simulation method with historical volatility have good effect on the main share and B share,furthermore,the effect of the Monte Carlo simulation method with improved volatility is better.However,the result of both kinds of the Monte Carlo simulation method on A share is not satisfactory.