规避通胀风险的结构性理财产品设计与定价

Designing and Pricing Structured Financing Products in order to Avoiding Inflation Risk

在资产通胀风险日益增加的背景下,如何设计出更加符合市场的结构性理财产品并给予其合理定价是目前亟待解决的问题。运用金融工程组合分解技术构建一种创新型幂式双障碍敲出期权,该期权可以作为银行结构性理财产品的内嵌期权,从而获得一种创新型幂式双障碍理财产品,运用风险中性定价理论将复平面的围道积分应用于Laplace逆变换给出期权定价模型,以中国银行HJB0903v为例,研究中国规避通胀风险的黄金挂钩双障碍理财产品定价的合理性,并分析黄金价格波动对HJB0903v触及障碍的概率和理论价格的影响。研究结果表明,产品发行价格稍高于其理论价值,隐含溢价率为0.81%;波动率的增加使触及障碍的概率增加,使理论价格先小幅增加后大幅降低,最终趋于某一稳定值。

Under the background of increasing assets′inflation risk,how to design and price structured financial products according to the current financial market conditions becomes the current indispensable problem to be solved.In this article,firstly portfolio decomposition of financial engineering is used in constructing an innovative powered double-barrier knock-out option that can be seen as the option embedded in structured financial products.Then with risk-neutral pricing theory,contour integration on the complex plane is applied in inverse Laplace transform to obtain pricing model of this option.So an innovative powered double-barrier financial product is obtained.Secondly,taking HJB0903v issued by Bank of China as an example,an empirical analysis is made and pricing gold-linked financial products with double barrier that can avoid the inflation risk is studied.Furthermore,sensitivity analysis of volatility about hitting probability and theoretical value is made.The results show that the product′s issuing price with 0.81% implied premium rate is slightly more than its theoretical value;when volatility increase,hitting probability will increase,but theoretical value firstly slightly increases,and then significantly decreases and finally tends to a constant value.