[1]陈金龙,任敏.股票挂钩保本型结构性人民币理财产品定价[J].华侨大学学报(自然科学版),2010,31(3):342-345.[doi:10.11830/ISSN.1000-5013.2010.03.0342]
　CHEN Jin-long,REN Min.Study on Pricing Financial Products of RMB with Equity-Linked Guaranteed Structure[J].Journal of Huaqiao University(Natural Science),2010,31(3):342-345.[doi:10.11830/ISSN.1000-5013.2010.03.0342]
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股票挂钩保本型结构性人民币理财产品定价()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第31卷
期数:
2010年第3期
页码:
342-345
栏目:
出版日期:
2010-05-20

文章信息/Info

Title:
Study on Pricing Financial Products of RMB with Equity-Linked Guaranteed Structure
文章编号:
1000-5013(2010)03-0342-04
作者:
陈金龙; 任敏
华侨大学工商管理学院
Author(s):
CHEN Jin-long;  REN Min
College of Business Administration, Huaqiao University, Quanzhou 362021, China
关键词:
股票挂钩产品;  保本型;  单资产期权;  定价
Keywords:
equity-linked products;  guaranteed;  single-asset option;  pricing
分类号:
F224; F832.51; F832.2
DOI:
10.11830/ISSN.1000-5013.2010.03.0342
文献标志码:
A
摘要:
针对保本型单资产股票挂钩结构性人民币理财产品的期权特征,在一定假设条件下,应用风险中性定价原理,借鉴Black-Scholes期权定价方法,就无收益率上限、考虑收益率上限及考虑比例交易费用等3种情况进行定价研究,并得出相关定价公式.利用中信理财沪深300指数挂钩1号人民币理财产品案例进行定价和分析,研究结果表明,该产品收益率设计是合理的.
Abstract:
In view of the option features of financial products of RMB with guaranteed single-asset equity-linked structure,under a certain assumption based on the principle of risk-neutral pricing,with the way of the option pricing of Black-Scholes,this paper focuses on the study on pricing for the upper limit of non-profit margin,profit margin and transaction costs of considering ratio,and draws the relevant pricing formula.Then the result of the research shows that the design of the product profit margin is reasonable through pricing and analysis in the case of CITIC RMB financial product(No.1,A term) which is linked with Shanghai and Shenzhen 300 index.

参考文献/References:

[1] CHEN A H, KENSINGER J W. An analysis of Market-Index certificates of deposit [J]. Journal of Financial Services Research, 1990(2):93-110.
[2] STOIMENOV P A A, WILKENS S. Are structured products ’fairly’ priced an analysis of the german market for Equity-Linked instruments [J]. Journal of Banking and Finance, 2005, (12):2971-2993.
[3] BROWN C, DAVIS K. Dividend protection at a price [J]. Journal of Derivatives, 2004(2):62-68.
[4] MALLIER R, ALOBAIDI G. Pricing Equity-Linked debt vsing the vasicek model [J]. Acta Math Univ Comenianae, 2002(8):211-220.
[5] 廖四朗, 康荣宝, 张嘉倩. 保本型票券之定价及避险策略 [J]. 证劵暨期货管理, 2003(7):52-68.

备注/Memo

备注/Memo:
国家自然科学基金资助项目(70573033); 福建省优秀人才支持计划项目(07FJRC08)
更新日期/Last Update: 2014-03-23