The Valuating,Modeling And Analysing Of Snowball Option

The structured financial derivatives occupies an extremely important role,in the development of the global and Chinese financial market.Especially,snowball option structured financial derivatives have more and more advantage to target return and specific risk management.The option market in western countries has developed more than fourty years the market more mature and accumulated more and more experiences in risk management and hedging.The development of Chinese financial market adapted to our basic national conditions,but our option market just developed some years we have to study foreign experience.Investors’ professional need to improved about option and structured financial derivatives.As the opening of Chinese financial market and training the financial talents more and more financial institutions have begun to used to option,especially for structured financial derivatives,more and more income certificates issue by securities companies,some hedging fund issue high-yield structured product,the structured financial management of banks an so on began to rised.The insurance of compensation of industural value in insurance industry.Recently years,the issuance scale of HYN structured products of snowball options has been increasing year by year.Snowball options have become one of the most popular structured products to 2021,the snowball options have reached about 250-300 billionStructured products have a variety of forms and are used for different purposes.Snowball option was one of pouplar structured products more complex to price than traditional vanilla options and difficult to hedge their risks.To market maker the pricing and valuation of structured products is very difficulted.As the high price buyer’s inquiry not accepted to it,the market maker will lose more and more profits if use the low price.In fact market transaction structured products are OTC transaction the core of traders’ quotation is the estimation of volatility surface.The paper of analyze the nature of structured products by study to the valuation and pricing of snowball options,product issuing,estimated the risk parameter,calculated the hedging return and volatility change.In the paper we mainly through BS model and modified it to calculated the price of snowball options.In this thesis we mainly through disassembled the structured proudcts and analyzed to the profit and loss of it,especially the complex structured product are often embeded with high-risk option structure,snowball option is a structured product with high-yield and high-risk,if the price of stock remains stable and obtained the annual high-yield,if the price of stock fall down the investors have to bear the risk of infinite decline,the profit and loss characteristics of snowball are representative,representing the profit and loss characteristics of similar high-yield structured products.From the perspective of market makers,the paper studies and analyzes other factors that affect the price of snowball options by analyzing the formula and derivation of Greeks of snowball options.