保本型股票挂钩结构性外汇理财产品定价研究

A Study on Pricing of Foreign Exchange Financial Products with Guaranteed Equity-linked Structure

内容本文首先针对单资产股票挂钩保本型结构性产品的期权特性,在一定的假设前提下,根据风险中性定价原理,借鉴Black-Scholes期权定价方法,对受汇率波动影响的外汇理财产品进行定价研究,并得出定价公式,然后运用中国民生银行非凡理财第四期的两年期产品为案例进行定价分析,结果表明该产品收益率设计是合理的。

This paper first focuses on the option features of the guaranteed single-asset equity-linked structured products. Under certain assumption, it then studies the pricing of foreign exchange financial products that is affected by exchange rate fluctuation, and get relevant pricing formula, based on the principle of risk-neutral pricing and option pricing of Black-Seholes. The method is applied to the case of Minsheng Bank＇s extraordinary financial products （No. 4, two-year maturity） . The result shows that the profit margin is reasonable.