The Pricing Effectiveness Of The Structured Fund Based On Monte Carlo Simulation

That in a portfolio,its net assets or income can be decomposed into different shares of different risk and income level is called the structured mutual fund.In china,the grading funds generally fall into two types,one is the priority share and the other is the enterprising share,its main characteristic is "revenue classification and risk classification",which can satisfy the different preferences of investors.The main value of the investment in the structured fund is that it can be traded each other,and provided the price leverage.Structured funds can be split,due to its features in the design of the product,the nature of trading becomes more obvious.The diversification of the leverage design will meet the needs of different investors with the development of the structured fund.The structured fund can make the market more active,apply new asset allocation and trading tools for the fund market,therefore researches on the structured fund pricing can help investors,managers and regulators.In the past two years,although the regulatory released the management requirements of the structured fund to increase the threshold,but it still has lower cost of financing,wide tracking target and covers lots of popular investment direction.The Monte Carlo Simulation method which can overcome path dependence is chose to make the research and 6 funds with more than 3 years running time are chose to price the net value of mother fund,A and B share price respectively and compared with the actual price.It's discovered that B share simulation fitting degree is higher,and has better correlation and regression analysis.A share of the simulation is unable to response the market prices,and in further study,the actual price lever and the volatility of the underlying index almost have no effect on the simulation fitting degree.Leveraged products will become the main trend in the development of financial market in China.The research on the typical product pricing and product design elements has important significance to other similar products.The study will provide the reference for the pricing of other leveraged products for the future,and further research can continue to discuss other factors besides lever and volatility of the underlying asset.