Research On Pricing Of Snowball Structured Products

Since the promulgation of the " new regulations on asset management " in 2018,asset management products have been required to break the rigid payment.China ’s financial market structured financial products have ushered in certain development opportunities,but also brought certain challenges to asset management companies.After 2020,market volatility has increased and structured products have developed rapidly.In 2021,snowball products that claim to be ’ break-even ’ and ’ high-yield ’ quickly grab investors ’ attention and become popular.In August of the same year,China Securities Investment Fund Industry Association gave window guidance to asset management companies.Based on this background,this paper chooses A product issued by Guotai Junan as a case,combines two pricing methods,reveals the income of the product,provides reference for investors to choose the product,and also provides reference for issuers.Firstly,this paper systematically reviews the pricing research of barrier options and structured financial products at home and abroad,focusing on their research ideas and conclusions.Secondly,in the case analysis part,the background and development status of snowball structured products are expounded.Because Guotai Junan belongs to the first-class dealer in the over-the-counter option market,it has inherent advantages in the issuance of over-the-counter options,and the proportion of snowball products subject to CSI 500 reaches73.33 %.It is of practical significance to take Guotai Junan ’s A product as a case.In this paper,the GARCH model is used to calculate the volatility,and then combined with the principle of product replication,the finite difference solution model of snowball product under B-S partial differential equation is constructed,and the price of A product is obtained by programming.At the same time,the more mature Monte Carlo simulation is used as a pricing reference.Finally,the influence of each factor of the product on the product price is analyzed.Both methods show that the product is issued at a smaller discount.This paper analyzes the deep-seated reasons for the product discount.In the pricing results,it is found that the probability of about 80 % of the product will be knocked out in advance.In reality,it is difficult for investors to hold due.This paper believes that the average yield corresponding to the knock-out part is more meaningful for investors than the coupon rate.Moreover,when the market falls,the tail risk of the product is greater.Combined with the impact of product factors on prices,this paper proposes optimization suggestions for the structure of the product.Finally,it puts forward targeted suggestions for investors,issuers and regulators respectively.