基于二叉树模型方法的Bermuda型理财产品定价

Pricing of Bermuda’s Financial Products Based on Binomial Tree Model Method

利用时变二叉树模型方法研究了Bermuda型理财产品进行期权定价问题.首先,利用点估计方法对沪深300指数的历史数据进行收益率和波动率的提取.其次,针对收益率序列和波动率序列的历史数据建立相应的时间序列模型,进而表明了收益率和波动率不为常数.再次,将未来时刻的收益率和波动率视为时间变量的函数,构造了时变参数下的二叉树模型.最后,对各类Bermuda型理财产品是否自动化再投资问题进行分析,并通过实证分析,得出指定理财产品的理论价格,结果表明对该类型理财产品选择自动再投资对投资者更有益.

In this paper,the time-variant binomial tree model is used to study the Bermuda’s financial products for option pricing problem.Firstly,the yield rate and volatility of the historical data to the CSI 300 index are obtained by point estimation.Secondly,the corresponding time series model are established by the historical data of the return series and the volatility sequences which shows that the yield rate and the volatility are not constant.Thirdly,the binomial tree model is constructed to analyze the value of Bermuda’s products in which the yield rate and volatility of the future is regarded as a function of time variable.Finally,the problem of automatically reinvestment is analyzed.The results showed that the types of financial products is more beneficial to investors by choosing automatically reinvestment.