Research On The Pricing Of China Merchants Bank's Gold-linked Structured Financial Products

Gold has long been favored by many investors as the first choice for value preservation and appreciation.Meanwhile,with the increasing influence of gold in the world,the investment varieties and market scale related to gold wealth management products are constantly enriched and expanded.Since the introduction of new capital management regulations in 2018,Banks have chosen structured wealth management products linked to gold as the first choice of capital preservation proprietary business.By analyzing the final returns of 14 gold-linked structured wealth management products maturing in September 2019 of China Merchants Bank,it is found that.The average annualized return for all products to maturity was 3.04%,the highest annualized return was 4.12%,and the lowest annualized return was 1.74%.The investment value is judged by whether it exceeds the bank's one-year fixed deposit rate.Of the 14 products,64% had investment value,while 36% had no investment value.Therefore,it is particularly important to select the appropriate gold-linked structured financial products by analyzing the terms of the products in advance and predicting the trend of gold.However,faced with numerous gold-linked structured financial products and complex product specifications in the market,many investors are unable to correctly predict the market performance of a certain product linked to gold and judge whether the product has investment value due to the lack of certain professional knowledge.Based on the above situation,this paper selected a gold-linked structured financial product issued by China Merchants Bank as a sample,and studied the pricing of the product by using the Monte Carlo simulation method in the numerical method and b-S option pricing method in the analytical method.According to the pricing results,using monte Carlo simulation pricing,the option part value is 311.1421 yuan,the theoretical value of the product is 100135.7782 yuan,and the discount rate is 0.1358%.After adopting the variance reduction technology,the option value is 328.1535 yuan,the theoretical value of the product is 100152.7896 yuan,and the discount rate is 0.1528%.According to b-S option pricing in the analysis method,the option value is 279.7204 yuan,and the theoretical value of the product is 100104.7896 yuan,with a discount rate of 0.1079%.Although the partial pricing of options obtained by the two methods is slightly different,we can consider that the difference is small and within a reasonable range.Thus,it can be judged that this product is issued with a high probability of discount.In addition,in the product risk research section,the sensitivity analysis of risk-free interest rate and volatility shows that the volatility of associated underlying assets has the greatest impact,and issuers should pay special attention to the risk hedging in this part.Finally,through reading the relevant literature and the actual operation of the paper,the author puts forward some enlightenment,hoping to be helpful to the future research.