Research To The Stuctred Mutual Fund Pricing In China

Structured mutual fund is an emerging innovative product in China which consists of two or more parts with different risk and return. There is no united pricing theory for structured mutual fund in China due to its time of occurrence.In order to price the structured mutual fund products in China, this paper reviews the development of the structured mutual funds as well as the existing 96 structured mutual funds on the basis of the existing references. Following is the pricing of three structured mutual fund products by B-S Model, Monte Carlo method and Binominal Model, which comes to several conclusions. When pricing these products using B-S Model, they are decomposed into options before the value of these options are calculated. Which is the same when comes to Binominal Model. When the Monte Carlo method is engaged, basic parts of these products are simulated at first, and then the value of part A and part B are calculated. In the end, this paper analyzes the pricing results as well as the three pricing theories.This paper draws some conclusions. One is that models for option pricing can be well applied to the pricing of structured mutual funds considering different conditions, except for part B using Monte Carlo method. And more simulating do not make a difference in Monte Carlo method. Another is that the difference between pricing results and actual prices decreases using Monte Carlo method, which goes the opposite when B-S Model and Binominal Model are applied. This paper prices the structured mutual fund products and studies the pricing theories.