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平安银行结构化理财产品定价分析
王杨1, 赵丹2, 张寄洲1, 傅毅1
1.上海师范大学 商学院, 上海 200234;2.上海师范大学 数理学院, 上海 200234
摘要:
理财产品作为银行一种较高收益率和较低风险的投资方式,迎合了投资者的需求。以平安银行财富"结构类(100%保本挂钩利率)资产管理类开放型98天人民币002期"理财产品为研究对象,利用现金流贴现模型、LIBOR市场模型进行建模,运用蒙特卡罗模拟法,借助Matlab软件,计算出该产品的理论定价,并与平安银行的实际定价相比较,分析其合理性。得出该理财产品的预期收益率与产品说明书中提到的最高到期收益率相一致,说明该理财产品的价值被低估。
关键词:  结构化理财产品  现金流贴现模型  LIBOR市场模型  蒙特卡罗模拟  定价
DOI:10.3969/J.ISSN.1000-5137.2020.05.004
分类号:F832
基金项目:国家自然科学基金青年基金(11701377);教育部人文社会科学研究规划基金(18YJAZH127);教育部人文社会科学研究青年项目(17YJCZH044)
Pricing analysis of structured financial products of Ping An Bank
WANG Yang1, ZHAO Dan2, ZHANG Jizhou1, FU Yi1
1.School of Finance and Business, Shanghai Normal University, Shanghai 200234, China;2.Mathematics and Science College, Shanghai Normal University, Shanghai 200234, China
Abstract:
As a high yield and low risk investment method, financial products cater to the needs of investors.In this paper, the financial product of Ping An Bank's wealth structured(100% guaranteed linked interest rate)asset management open 98-day RMB 002 series is taken as the research object.The mathematical model is established by using the discounted cash flow model and the LIBOR market model.The theoretical price of the product is calculated by using Monte Carlo simulation.By comparing the theoretical price with the actual price, it is concluded that the expected yield of the financial product is consistent with the highest yield mentioned in the product description.This shows that the value of the financial product is underestimated.
Key words:  structured financial products  discounted cash flow model  LIBOR market model  Monte Carlo simulation  pricing