| In recent years,global financial markets have been shaking frequently,especially since the outbreak of COVID-19 in early 2020.In the period of relative turbulence in the market,most small and medium-sized investors are very cautious about the selection of investment targets.The stable investment products represented by structured financial products show high investment value on the whole.However,due to its complex income structure and various linked targets,investors often do not understand such products.Taking this opportunity,this paper makes a detailed classification and introduction of China’s structured products,intuitively describes the characteristics and differences of the income structure of different types of products,and tries to study the rationality of their pricing with scientific methods by studying the two linked CSI 500 index structured financial products sold by different subjects,improve the pricing method through variance reduction techniques,and analyze the sensitivity of product prices,It has certain theoretical and practical significance.Firstly,this paper systematically combs the relevant literature of domestic and foreign scholars on structured product pricing,then makes a more detailed analysis on the concept,classification and development status of China’s structured products from the macro level,summarizes the development trend of China’s structured product market,and then introduces the relevant theoretical basis involved in this paper from the theoretical perspective,including the change process of original assets,generalized autoregressive conditional heteroscedasticity model Monte Carlo simulation,variance reduction techniques and sensitivity analysis are the theoretical basis of this paper.Then,select the "wentianhui" product issued by Bank of communications and the "Juyi No.22029" product issued by Huatai Securities,conduct Monte Carlo simulation numerical pricing for each product,improve the pricing method based on variance reduction technique,and conduct sensitivity analysis on the potential factors affecting the product price.The results of numerical analysis show that the theoretical expected annualized returns of the two products are 2.41%and 2.42%respectively,and the theoretical prices are very close to the actualissuance prices,which are issued at a slight discount;The dual sampling method can not improve the pricing variance of the two products,while the control variable method has a good effect on reducing the pricing variance;The sensitivity analysis results show that among all the potential factors selected,only the initial price of the underlying asset is a non sensitive factor,and the factors such as volatility,risk-free interest rate and product term are sensitive factors.The relationship between each sensitive factor and the theoretical price is analyzed.Finally,according to the results of numerical analysis,some suggestions for reference are given from regulators,issuers and investors. |
