A Study On The Pricing And Performance Of Exchange Rate Linked Structured Products In China

Along with the gradual improvement of exchange rate rule and development offinancial markets, exchange rate linked products will be concerned by more and moreinvestors. This paper firstly analyze the basic concepts of interest rate linked products,structural characteristics, as well as the development of exchange rate linked productsmarket. Secondly, it detailed expounds factors affecting pricing, pricing model andtechnologies of exchange rate linked structured products.Pricing method of specified product is the key and difficult point. According to thepricing theory and techniques which are stated in the preceding part, the paper mainly taketwo kinds of foreign exchange rate linked products as research sample, calculate out thetheoretic price and compare with real publish price，work out the mispricing degree.Pricing performance of the exchange rate linked structured products in china isanother key question being researched in this article. Foreign currency financing productsissued by Bank of China (BOC) are taken as examples. By the comparison of the pricingperformance of different bank, period and currency products, Related affective factors andchanges of actual rate、excess and bench rate are showed and analyzed. Finally, The papermade a more systematic elaboration on the problems design and development of exchangerate linked structured products in our country, put forward the countermeasure proposalsand work out supporting measures which can promote structured products development。The main contribution of this paper is:New ideas on the topics choose: In the relevant information the author access to, thereis no literature that made special studies focused on exchange rate-linked structuredproduct in Chinese financial market specifically. This paper carried out a detailedinvestigation and analysis on China’s current exchange rate linked financial products, andtried to use Financial Engineering method and option pricing model to calculate out thetheoretic price, then hook on the mispricing degree of exchange rate linked product, offerinvestors and issuing banks more scientific reference。...