The Design Of SSE 50ETF Structured Financial Product With Embedded Dual Barrier Option

In the 1850s,structured financial products appeared and began to be issued in China’s financial market in the early 21st century.Nowadays,the market system of structured financial products has begun to take shape in China,and structured financial products are playing an increasingly prominent role in the financial market.However,problems such as unreasonable pricing and product homogeneity are still prominent.In order to be able to enrich the structured finance products,provide different structured products with more applicable pricing method,this paper designed a hook for the investors SSE 50ETF performance of structured products,the product embedded double barrier options,income structure is novel,can reduce the possibility of risk loss and provide higher potential returns,therefore,It provides new research ideas in terms of innovating the types of structured financial products in the financial market and pricing of structured products embedded with dual barrier options with theoretical and practical significance.The main contents of the paper include:Firstly,this paper sorts out the domestic and foreign research trends on structured financial products and domestic and foreign research trends on barrier option pricing model and the pricing method of this paper is determined.Secondly,in order to meet the customized needs of investors and to enrich the design objectives of product categories,the product is designed and optimized on the basis of determining the target index.Through continuous debugging,determine the product participation rate,release scale and other specific parameters.As th e core of structured product design,product pricing is divided into two parts:one is fixed income securities value pricing,the other is dual barrier option value pricing.On the one hand,BSM pricing model and its derivative formula and Monte Carlo simulation are used to analyze the pricing of options.The results of the two pricing methods are similar,which verifies the accuracy of the pricing results of options.On the other hand,discount cash flow model is used to price fixed income securities,sum up the two parts of the price,get the final theoretical value of the product.On the base of implementing pricing results robust,this paper analyzes the sensitivity of the product,respectively analyzes the knocked down into the call option,upward into the call option value of disturbance and the sensitive degree of executive price,for subsequent amendments related parameters of the same kind of product and removing barriers to choose a more reasonable price and the strike price.Lastly,the external risk of the product is analyzed to facilitate the product issuer to make investment decisions.The advantages and disadvantages of SSE 50ETF structured financial products embedded with double barrier options are analyzed,and the product promotion strategies are provided.