Research On The Pricing Of Snowball Structured Wealth Management Products

Snowball structured products have attracted the attention of the majority of investors in the market because of their high expected rate of return and a special structure similar to "capital preservation",providing diversified hedging methods and investments for the majority of investors and financial derivatives issuers tool.Snowball structured products are essentially put options with barrier clauses,which can bring high returns to investors in a long-term volatile market,and products that can obtain high returns as long as the conditions for triggering a knockout event are met The model makes investors believe that the product has low risk and high return,thus winning the favor of the majority of investors.With the implementation of the "new asset management regulations",rigid payment has been broken,and snowball structured products have become the focus of investors because they meet regulatory compliance requirements.How to design and price such products at this time? Making products meet both regulatory requirements and the needs of investors has become a hot issue to be solved now.At the same time,whether the contract can really achieve the claimed high rate of return,the hidden risks behind its high rate of return cannot be ignored.For this reason,this thesis selects the product "Rui Xue Fengying No.1" issued by Changjiang Securities as a case,and studies the pricing method of such products through real market data and simulated paths,so as to provide a reference for investors to configure such products,and at the same time.Provide reference for product issuers.First of all,this thesis sorts out and analyzes previous researches on the development of option pricing theory,pricing of structured products and pricing of barrier options,and integrates the research methods and ideas of domestic and foreign scholars.On this basis,the research on the pricing of snowball structure products is carried out.In the case analysis part,this article selects the "Rui Xue Fengying No.1" product issued by Changjiang Securities for analysis.Pricing is carried out by Monte Carlo simulation method,and on the basis of the pricing results,the income distribution characteristics of the product are summarized.After simulating pricing,real market data was selected to back-test the product’s income,and the income distribution of purchasing this type of product in the real market at different times was obtained.Through the pricing results,it is found that the case products have obvious discounted distribution characteristics,and we deeply explore the reasons why most issuers of snowball structure products choose to issue products at discounted prices.Finally,this article analyzes the pricing results.The real returns of snowball structured products do not match the high returns of contract performance.Most contracts will be terminated in advance,and they can hold contracts to expire and obtain high returns.The situation is rare,and there is tail risk,and the probability of large losses cannot be ignored.Therefore,some reference suggestions are provided for investors,and at the same time,opinions are also given to the issuer of the product.