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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (4): 8-13.

• 论文 • 上一篇    下一篇

结构化金融产品的最优设计与定价——基于发行者与投资者视角

崔海蓉1,2, 何建敏1, 胡小平1   

  1. 1. 东南大学经济管理学院, 江苏南京211189;
    2. 南京农业大学工学院, 江苏南京210032
  • 收稿日期:2009-12-15 修回日期:2010-07-05 出版日期:2010-08-30 发布日期:2010-08-30
  • 作者简介:崔海蓉(1977- ),女(汉族),江苏徐州人,东南大学经济管理学院,博士研究生,南京农业大学工学院讲师,研究方向:金融风险管理、金融工程.
  • 基金资助:

    国家自然科学基金资助项目(70671025)

Optimal Design and Pricing of Structured Finance Products：from the perspective of both issuers and investors

CUI Hai-rong1,2, HE Jian-min1, HU Xiao-ping1   

  1. 1. School of Economics and Management, Southeast University, Nanjing 211189, China;
    2. College of Engineering, Nanjing Agricultural University, Nanjing 210032, China
  • Received:2009-12-15 Revised:2010-07-05 Online:2010-08-30 Published:2010-08-30

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摘要： 基于行为金融学相关理论,从发行者和投资者双方角度,研究了具有嵌入式障碍期权的结构化产品的设计及其定价问题。首先根据发行者和投资者行为特征,对产品支付结构进行设计,给出支付函数;其次在一定假设下,对产品进行定价,获得定价闭合解;最后基于产品价格公式,分别对到期时间、波动率、初始障碍和初始执行价格等重要参数进行灵敏度分析,结果表明,这些参数变化对产品理论价格的影响不尽相同,由于产品的特殊性,分析结果与已有产品相比有一定差异。

关键词: 结构化产品, 设计, 定价, 行为金融

Abstract: According to relevant theories of behavioral finance,from the perspective of both issuers and in vestors,desig ning and pricing of a structured productem bedded barrier option are studied.Firstly,according to behavioral characteristic of issuers and investors,pay off structure of products is designed and pay off function is given.Secondly,under the certain assumption,the closed form solution of the product is obtained.Finally,based on the pricing formula,sensitivity analysis for expiration time,volatility,initial barrier,and initial strike price is conducted.The result shows that these parameters' impact on the theo retical price of the product is different.This result compared with other existing products has some differences.

Key words: structured products, design, pricing, behavioral finance

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