Study on pricing financial products with guaranteed equity-linked structure based on the multi-asset
Study on pricing financial products with guaranteed equity-linked structure based on the multi-asset
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发表时间：
2011
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通讯作者：
Ren Min
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文献类型：
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作者：
Ren Min
The essential problem for pricing structured financial products is how to determine profit functions,and the main key to pricing technically is how to handle the correlation between assets.The paper expounds: firstly,the correlation between assets can be solved by means of Cholesky decomposition,secondly,a multi-asset product with guaranteed capital by equity-linked structure is priced by means of Monte Carlo according to its characteristics of profit functions,and lastly,the the method is applied to the case of Shenzhen City Commercial Bank Yingfeng financial product 0706,in which the research shows while the actual product pricing is high,the product earnings are lower.
