摘要
人民币结构性存款是商业银行广泛开展的一项主营业务,定价模型比较复杂。本文将根据金融衍生产品的模型定价理论,对结构性存款交易中挂钩汇率和利率基准的两类产品,分别介绍了使用局部随机波动率模型和零息利率模型进行定价的方法,为商业银行开展业务提供了一个有效的工具。
CNY structured deposit is a major business in commercial banks and the pricing model for this type of product is complicated.In this paper,based on the financial derivatives theorem,we have introduced two mathematical and financial models for pricing the CNY structured deposit trades,i.e.,a local stochastic volatility model for pricing trades linked to FX indexes,and a zero-coupon rate model for pricing trades linked to interest rate index.We hope this work will provided an efficient tool for trading business in commercial banks.
出处
《金融市场研究》
2020年第1期123-134,共12页
Financial Market Research
关键词
金融衍生产品
结构性存款
定价模型
Financial Derivatives
Structured Deposit
Pricing Model