Pricing Analysis Of Commodity-linked Structured Financial Products

With the rapid development of social economy,people pay more attention to the management of wealth.Structured financial products are getting more and more popular because of their higher expected rate of return.However,the structured financial products are relatively complex,linked to a wide variety of objects,the way to determine the yield is cumbersome.For investors,it is not good to make reasonable judgments about their expected earnings.Especially commodity linked type,this type linked to the subject matter,oil,gold and other prices prone to fluctuations.Therefore,this paper selects commodity linked structured financial products as the research object.This paper combines the research ideas and methods of excellent scholars at home and abroad,and selects commodity linked structured financial products as the research object.Based on previous experience,the pricing of commodity linked structured financial products is discussed through qualitative analysis and quantitative analysis.In the commodity linked structured products related to the basic theory,adopting the analysis method of combination of theory and practice,according to the stats of China's structured financial products development,the specific development strategy,the economic theory to the reality of Chinese.In the part of the empirical pricing,the specific commodity linked structured financial products are divided into two parts: fixed income and internal option.The calculation of the theoretical value of the fixed income part is the method of discounting cash flow.The theoretical value of the part of the option is calculated,and the static volatility and the dynamic volatility are considered.When considering the static volatility,the historical volatility is taken as the parameter to be selected,and the two fork tree model and the BS model are used to complete the product pricing.In consideration of the dynamic volatility,the ARCH model is used to describe the future fluctuation of the commodity linked structured financial product peg.Then Monte Carlo simulation is used to simulate the probability of future different rate of return to determine the expected rate of return in order to complete the product pricing.In this paper,commodity linked structured financial products are divided into three types: interval barrier,bullish(drop)type and composite type according to their product return rate.From the terms of all merchandise linked structured financial products sold in 2017,basically all commodity linked structured financial products can be classified into these three standards.Then,the three corresponding financial products issued by China Merchants Bank,Agricultural Bank of China and Bank of communications in the second half of 2017 were selected as the empirical objects,and the three products were priced by the unused method respectively.Finally,the empirical results are summarized,and some suggestions for solving the problems in the development of commodity structured financial products are put forward.