Structured Financial Products Based On The Spread Of HSI Future

Over the past three decades, with the rapid development of the financial sector, the development of financial derivatives are fast and trading volume increase a lot. It is good at avoid risks, hedging, price discovery function that seems to make it become an integral part of the financial sector. And Nearly twenty years, the stock index futures has become one of the most important financial derivatives. It is a kind of financial derivative products to meet investor demand for risk management arising, combining characteristics of both stocks and futures, but It is different from general futures contracts. Besides its financial derivatives hedging and price discovery function, it also has the addition of asset allocation, high mobility, and other functions to stabilize the market that makes the stock index futures playing an increasingly important role in the financial markets. So it is worth to do some research in the stock index futures.Based on the Shanghai and Shenzhen 300 index futures and Hang Seng Index futures spread analysis, we found that if the period of investment acrosses the futures contract expires, the future investors will face some upward risks. The spreads of Hang Seng Index futures will be more volatile. The demand to hedge risk spreads for months of HSI will be more vigorous.In this paper, we has designed four products to provide them with a tool for managing risk of HSI that we mention above. The new tool is essentially an exotic double underlying options that based on the spread. The first product is a spread options. When the expire comes, if the price of the month contract is higher than the same month contract, the investor will receive all the difference subsidies that means they can hedge the risk totally. The second to forth product is a barrier option that based on the spread option. The barrier of the second and third product is stationary. The difference is that they can get K from the third product, but nothing from the second. The barrier of the forth product is non-fixed value which is set with the price of the same month contract.We can get some conclusion as follows:(1) When the terminal value of exotic double underlying options is set as follows we can get the formula of pricing: Among them(2) Under the same assumptions, the results obtained by the method of par-tial differential equations is the most accurate, but the process of getting an analytical solution is more complex. Even for some special options, we cannot find the analytical solution. The advantage of Monte Carlo simulation method is that it can rely on when the underlying asset value gains S path but it just depends on when the case S is used to estimate the ultimate value. Monte Carlo method is simple, and has a wide range of applications. However, Monte Carlo simulation method has its disad-vantage, which means it need to take a lot of time to complete. And at the time of early exercise, it is also difficult to operate. If you want to improve the accuracy of a calculation, at least 100-fold increase in the amount of calculation.(3) Although with respect to investors, the purchase of spread options is very beneficial, but if you can set reasonable obstacle value, this kind of option will greatly reduce the cost of investors.(4) For the Hang Seng Index which is gapped for months against the risk, the appropriate double underlying option model is based on spread option who is based on a fixed spread obstacle value K. At maturity, when the spread is less than 0 or exceeds the fixed value K, the options fail, and investors will not receive compensation for the difference. But when the spread is between 0 and K, the investors can get the appropriate spread compensation.(5) With the obstacle value increasing, spread barrier option price increases and limitless approach spread options. The rate of change of the price reduces with the increase of barriers. But when the value is above a certain value obstacle, barrier option price almost has no obvious change.