GDP挂钩债券定价机理及价格行为模拟

The Pricing Mechanism, Price Behavior Simulation of Innovation Products based on GDP-linked Bonds

作为结构化金融产品的一种,GDP挂钩债券在国外发展比较迅速。本文从发行人和投资者的视野,分析了GDP挂钩债券的产品结构、定价机理和设计要点等,特别是探讨了GDP挂钩债券定价的理论模型,剖析了GDP挂钩债券的定价特点及GDP期权模型,对GDP挂钩债券与GDP变化之间的关系即敏感性进行了分析。在此基础上通过算例进行了价格模拟,其研究思路和结论对中国宏观经济环境下的金融创新产品定价具有重要的意义。

As a kind of structured financial products, GDP-linked bonds develop quickly in foreign countries. From the perspective of issuers and investors, this paper analyses the product structure, pricing mechanism and product design of GDP-linked bonds. Es- pecially, this paper discusses the pricing theory model of GDP-linked bonds, and analyses the characteristicsof pricingand GDP op- tion model. This paper also analysesthe relationship and sensitivity betweenGDP-linked bonds and GDP. Based on these, the price simulation of the case is presented. The research ideas and conclusions have important significancefor the pricing of financial deriv- ativesunder the macro-economy circumstances.