摘要
基于Monte Carlo模拟方法，在中国金融理财产品市场上对结构性理财产品进行定价研究。通过模拟多个挂钩资产的价格路径，使用Cholesky分解方法来解决资产相关性问题，并由此总结出多资产联动型结构性理财产品的定价系统。以2007年9月12日发行的“同升15”产品为例进行实证分析，为了准确的模拟“同升15”产品标的资产的价格路径，从CCER数据库选取5只股票2003-2007年的历史数据，用线性插值法补足缺失的数据；通过总结出的定价系统并根据产品结算收益的公式计算出产品的价格。定价结果表明，该产品定价偏高，产品价格不合理；产品设计复杂，提高了投资者对产品的预期收益，但是导致了收益条件过于苛刻；此外，产品溢价的部分可被认为是对发行者的劳动补偿。
Pricing the structured financial product in Chinese financial products market, based on the Monte Carlo simulation. In order to exploit the pricing system of the structured financial product linked with multi-assets, simulate the price path for the multi-assets, then resolve the assets-related issues by Cholesky decomposition. Take the ＂Tongsheng 15＂ product issued on September 12, 2007 as the object of empirical analysis. To accurately simulate the price path of underlying assets , choose the historical data of the 5 stocks from 2003 to 2007, making up the missings by linear interpolation approach. According to the pricing system as well as the earnings formula, compute the price of the ＂Tongsheng 15＂ product. The pricing result implies the product＇ s real price is higher than its theoretical price . so the real price is unreasonable. The product is designed complicated which improve the investors＇ expected return and the income condition is very harsh. In addition, the products＇ premium can be regarded as the compensation for the issuer.
