The Pricing Analysis Of A Class Of Gold-linked Structured Products

Structured Products are one of the most important financial innovations for the past three decades in the field of international finance. Since 2001, China has embarked on structured financial products pilot issuance for domestic individuals in the form of currency structured deposits. After nearly a decade of development, China's banking structured finance business has achieved a great growth.This paper first presents a brief overview on the basics of structured products. Then the author reviews the basic theory of derivatives pricing-No Arbitrage pricing and the Black-Scholes pricing theory, introduces the expansion studies of B-S pricing theory in detail. As the emphasis of this paper, the following chapter tries to use the analysis framework of B-S pricing theory, dose empirical research on two structured products linked to gold-"Hang Seng Guaranteed 0906A" and "BOC ahead 10005A" examines the product's intrinsic value as well as the relationship between market parameters. Finally, we provide advices for investors:(1)"Hang Seng Guaranteed 0906A" mainly correspond the price of gold "moderate oscillation". Only when the international gold price shocked within a narrow range, can the expected higher returns be achieved. When combined with the macroeconomic situation, we believe that this product has higher potential risk, and we recommend investors choose carefully.(2) "BOC ahead 10005A" mainly correspond the price of gold "moderate increase". Only when the international gold prices rose steadily, can the expected higher returns be achieved. When combined with the macroeconomic situation, we believe that this product has moderate potential risk, and we recommend investors choose carefully.