Pricing And Sensitivity Analysis Of Shark Fin Structured Products

In the first quarter of 2020,affected by the new coronary pneumonia epidemic,the global financial market fluctuated significantly,and the VIX index reached a record high since 2008.And the small and medium investors are unable to bear this large fluctuation.The return of structured products is linked to the price of the underlying asset,which provides investors with the opportunity to obtain higher returns.Meanwhile,structured products provide investors with a minimium yield regardless of the performance of the underlying asset.As a result,structured products are popular among investors.This thesis examines three bullish shark-fin structured products,the income certificate A issued by CITIC Securities,the wealth management product B issued by China Merchants Bank and the structured deposit C issued by China Merchants Bank.The underlying assets of these three structured products are the Shanghai Gold Spot Contract(AU9999.SGE).The duration of these three structured products is relatively short,respectively 90 days,119 days,122 days.And the income structure of these three products is similar.By analyzing their characteristics and income structure,this thesis extracts features such as product maturity,underlying asset,the volatility of the underlying asset,execution price,barrier price,barrier rate,participation rate,minimum return rate,and knockout return rate.Based on the Monte Carlo simulation method,this thesis establishes a general pricing model for bullish shark fin structured products,and performs a sensitivity analysis based on the characteristics of the model.The annualized return rates of these three structured products are similar.After deducting sales expenses and other expenses,they are 2.45%,2.67%,and 2.78%.The result of sensitivity analysis show that for shark fin structured products,the annualized return rate is more sensitive to the underlying asset volatility and barrier prices.