Research On BS Pricing Model Of Structured Products Based On Stock Index Futures Embedded In Double Barrier Option

With the financial market developing rapidly in our country,structured products gradually have been hot spots in the financial market,and stock index futures become one of the most important financial derivative products in the financial market.At the moment,there are three stock index futures contracts circulated in the domestic market,but there is no structured product that uses the stock index futures as the underlying asset in the market.This dissertation studies the BS pricing of embedded double-barrier option stock index futures structured is because of that considering that ordinary investors have difficulty entering the index futures market and investing in stock index futures have high risk,but the structured products of stock index futures can solve this problem.And the issuance and circulation of structured products of stock index futures on the one hand can make the financial capital market more liquid and stable,and on the other hand,it can reduce investment risks and investment thresholds so that more people can participate in the stock index futures market.This dissertation first reviews the related basic theories and methods from three aspects: structured products of stock index futures,double-barrier options,and BS pricing model,and comprehensively explains relevant basic knowledge;secondly,according to design terms and income form construct of stock index futures of structured product which embedded doublebarrier options,structure its pricing framework and income status,and analyze in detail the features of the three basic elements(fixed-income bond,options and stock index futures)of stock index futures of structured products,and point out the functional relationships between the structured products and fixed income bonds,options,stock index futures,then explain the different roles and positions of the three major elements in the structured products from the perspective of risks and benefits.Third,the BS pricing formula for the double-barrier option embedded in stock index futures is derived,and the structured product embedded with doublebarrier options was constructed by using the assets under the Shanghai and Shenzhen 300 Index Futures(IF1709),then establish a pricing model for this structured product and obtain the product’s revenue and payment functions.Use the IF1709’s closing price and other specific data during the product’s lifetime,the various parameters of structured product are solved under the principle of the model.Finally,the value of the product is given from the perspective of the issuers and the investors,and this research gets the pricing range of structured product of stock index futures embedded double-barrier option,then the rationality of issuing the product at this range price and the reason of the product generates a premiumis explained.The dissertation paper derives the BS pricing formula for the double-barrier option embedded in stock index futures,and the pricing model of structured product of stock index futures with embedded double-barrier option is modeled and tested to obtain a reasonable pricing range for the structured product and indicates that the structured product can always get a reasonable pricing range when other parameters change,and the structured products of stock index futures embedded with double-barrier options issued in the pricing range can meet the requirements of investors and issuers on product prices at the same time.