股票挂钩保本型结构性人民币理财产品定价

Study on Pricing Financial Products of RMB with Equity-Linked Guaranteed Structure

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.

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.