时变波动率下ARIMA族触发式理财产品定价

Pricing of triggered financial products in the ARIMA model with time-varying volatility

拓展了触发式理财产品定价的相关结果,突破了波动率为常数的假设.对欧元兑美元的汇率进行分析,给出了汇率遵循的随机模型.利用Wilcoxon检验和Bartlett方差齐性检验,证实了随机模型具备波动率时变特性,进而采用ARIMA族模型描述汇率序列的波动率.利用Monte-Carlo方法模拟三款源自农业银行的触发式理财产品的价值,并给出相应的有效模拟次数.

This paper improves the theory of triggered financial products, particularly breaking the assumption that volatility is constant. Firstly, the data of the exchange rate of EurUsd is analyzed, by which the stochastic model is given. Secondly, it proves that volatility of the stochastic model has time variance by using the Wilcoxon test and Bartlett test. It indicates that volatility can be predicted by the ARIMA model, and finally obtains three triggered financial products from Agriculture Bank of China by the Monte-Carlo simulation. The number of effective simulations is also given.