銀行外匯掛鉤型理財產(chǎn)品的定價研究


目 錄

第一章 緒論 …………………………………………………………………5
1.1研究背景 ……………………………………………………………………5
1.2 研究意義 ……………………………………………………………………5
1.3國外研究 ……………………………………………………………………6
1.4國內(nèi)研究 ……………………………………………………………………6
第二章 相關(guān)理論與概念概述…………………………………………………8
2.1 外匯理財產(chǎn)品概念 …………………………………………………………8
2.2 外匯理財產(chǎn)品分類 …………………………………………………………8
2.3理論基礎(chǔ)……………………………………………………………………10
2.4產(chǎn)品特點……………………………………………………………………12
2.5構(gòu)造模型……………………………………………………………………12
第三章一種“漲跌雙贏”理財產(chǎn)品定價的實例分析……………………12
3.1選材對象……………………………………………………………………19
3.2產(chǎn)品收益測算 ……………………………………………………………19
3.3可研究的科學(xué)性和合理性 ………………………………………………20
3.4數(shù)據(jù)分析 …………………………………………………………………20
第四章 總結(jié) …………………………………………………………………24
致謝 …………………………………………………………………………………25
參考文獻(xiàn) ……………………………………………………………………………26
附錄 …………………………………………………………………………………28

摘要
外匯理財產(chǎn)品是以普通存款為基礎(chǔ)，運(yùn)用銀行的理財產(chǎn)品，與匯率、利率等掛鉤。在承受市場變化的風(fēng)險情況下，獲得相對較大收益的新型金融產(chǎn)品。其融合了固定收益證券和金融衍生品的特征。
本文首先在緒論部分指明了研究背景及意義，同時梳理出相關(guān)文獻(xiàn)對此問題研究的研究成果。在簡單介紹了外匯理財產(chǎn)品概念和不同分類下的相應(yīng)理財產(chǎn)品類型的基礎(chǔ)上，運(yùn)用Black-Scholes的期權(quán)定價思想和Δ-對沖技巧，根據(jù)存款期權(quán)的特征和相應(yīng)的條款。變更模型相應(yīng)的終值條件，可以推導(dǎo)出相應(yīng)的定價公式。
在風(fēng)險中性假設(shè)條件下，本文選取國內(nèi)較為新穎的“漲跌雙贏”式理財產(chǎn)品做定價分析。在介紹該定價的理論基礎(chǔ)后，在以國內(nèi)推出的相應(yīng)類型的理財產(chǎn)品為例。搜集該產(chǎn)品的數(shù)據(jù)，通過MATLAB編程，得出比較直觀的波動圖像。通過所得結(jié)果解釋波動率與期權(quán)價值之間的變化關(guān)系。然后在以此產(chǎn)品數(shù)據(jù)為基礎(chǔ)，得出單純看漲看跌型兩種產(chǎn)品相應(yīng)的與“漲跌雙贏”對比的圖像。最后將漲跌雙贏型理財產(chǎn)品與單純看漲、看跌型產(chǎn)品在市場波動的情況下期權(quán)價值與漲幅空間的比較。

關(guān)鍵詞：外匯理財產(chǎn)品 Black-Scholes的期權(quán)定價公式 期權(quán) 定價研究 風(fēng)險模型


PRICING OF THE BANK’S FOREIGN EXCHANGE-LINKED FINANCIAL PRODUCTS

ABSTRACT
Foreign exchange financing products based on ordinary deposits, based on the use of the bank's financial products linked to exchange rates, interest rates and so on. In bear the risk of changes in the market situation, access to relatively large gains new financial products. Which combines income securities and financial derivatives feature fixed.
This article first pointed out in the introduction part of the research background and significance, and to tease out the relevant research literature research on this issue. In a brief introduction to the concept of foreign exchange and financial products under different categories corresponding to the type of financial products based on the use of Black-Scholes option pricing ideas and Δ-hedging techniques, based on the characteristics of the deposit options and the corresponding terms. The final value of the corresponding changes to the model conditions can be deduced corresponding pricing formula.
Under the risk-neutral assumption, the paper selected domestic relatively new "Change-win" formula pricing of financial products to do the analysis. In the introduction to the theoretical basis of the pricing in the domestic launch of the corresponding type of financial products, for example. Collect data on the product, through MATLAB programming, more intuitive results fluctuate images. Explain the change in the relationship between volatility and option value through the results. Then based on the data in this product, both products come purely bullish bearish corresponding contrast images. Change finally win financial products and simple bullish, bearish products to compare.

Keywords: foreign exchange financing products Black Scholes option pricing formula one options pricing research risk models