Open AccessPricing analysis of stock index linked structured financial products of Commercial Banks
Author(s) -
Mengzhen Li
Publication year - 2019
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/677/4/042045
Subject(s) - investment theory , business , index (typography) , financial modeling , stock (firearms) , economics , rational pricing , stock market index , financial economics , capital asset pricing model , econometrics , finance , stock market , computer science , engineering , mechanical engineering , paleontology , horse , world wide web , biology
Financial products of commercial banks are an investment tool designed and issued independently by commercial banks. Nowadays, commercial banks have issued a variety of financial products, and the theoretical research on this aspect mainly focuses on marketing, the analysis of influencing factors of return rate and etc, but involving less pricing. Most of the research on pricing is limited to products with a simple structure. The case of this study is a structured financial product related to stock index. And besides an in-depth analysis of the structure characteristics and risk characteristics of the product, this study also calculates out the theoretical pricing of the product on the basis of using the stationary time series for conditional heteroscedastic model and the Monte Carlo Simulation Method (with the aid of Eviews software), and compares it with the actual pricing set by the Agricultural Bank of China, and then determines the rationality of the actual pricing. And suggestions are given accordingly.