银行外汇挂钩型理财产品的定价研究.docx
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银行外汇挂钩型理财产品的定价研究,目 录第一章绪论 51.1研究背景 51.2 研究意义 51.3国外研究 61.4国内研究 6第二章相关理论与概念概述82.1 外汇理财产品概念 82.2 外汇理财产品分类 8 2.3理论基础10 2.4产品特点12 2.5构造模型12第三章一种“涨跌双赢”理财产品定价的实例分析123....
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银行外汇挂钩型理财产品的定价研究
目 录
第一章 绪论 …………………………………………………………………5
1.1研究背景 ……………………………………………………………………5
1.2 研究意义 ……………………………………………………………………5
1.3国外研究 ……………………………………………………………………6
1.4国内研究 ……………………………………………………………………6
第二章 相关理论与概念概述…………………………………………………8
2.1 外汇理财产品概念 …………………………………………………………8
2.2 外汇理财产品分类 …………………………………………………………8
2.3理论基础……………………………………………………………………10
2.4产品特点……………………………………………………………………12
2.5构造模型……………………………………………………………………12
第三章一种“涨跌双赢”理财产品定价的实例分析……………………12
3.1选材对象……………………………………………………………………19
3.2产品收益测算 ……………………………………………………………19
3.3可研究的科学性和合理性 ………………………………………………20
3.4数据分析 …………………………………………………………………20
第四章 总结 …………………………………………………………………24
致谢 …………………………………………………………………………………25
参考文献 ……………………………………………………………………………26
附录 …………………………………………………………………………………28
摘要
外汇理财产品是以普通存款为基础，运用银行的理财产品，与汇率、利率等挂钩。在承受市场变化的风险情况下，获得相对较大收益的新型金融产品。其融合了固定收益证券和金融衍生品的特征。
本文首先在绪论部分指明了研究背景及意义，同时梳理出相关文献对此问题研究的研究成果。在简单介绍了外汇理财产品概念和不同分类下的相应理财产品类型的基础上，运用Black-Scholes的期权定价思想和Δ-对冲技巧，根据存款期权的特征和相应的条款。变更模型相应的终值条件，可以推导出相应的定价公式。
在风险中性假设条件下，本文选取国内较为新颖的“涨跌双赢”式理财产品做定价分析。在介绍该定价的理论基础后，在以国内推出的相应类型的理财产品为例。搜集该产品的数据，通过MATLAB编程，得出比较直观的波动图像。通过所得结果解释波动率与期权价值之间的变化关系。然后在以此产品数据为基础，得出单纯看涨看跌型两种产品相应的与“涨跌双赢”对比的图像。最后将涨跌双赢型理财产品与单纯看涨、看跌型产品在市场波动的情况下期权价值与涨幅空间的比较。
关键词：外汇理财产品 Black-Scholes的期权定价公式 期权 定价研究 风险模型
PRICING OF THE BANK’S FOREIGN EXCHANGE-LINKED FINANCIAL PRODUCTS
ABSTRACT
Foreign exchange financing products based on ordinary deposits, based on the use of the bank's financial products linked to exchange rates, interest rates and so on. In bear the risk of changes in the market situation, access to relatively large gains new financial products. Which combines income securities and financial derivatives feature fixed.
This article first pointed out in the introduction part of the research background and significance, and to tease out the relevant research literature research on this issue. In a brief introduction to the concept of foreign exchange and financial products under different categories corresponding to the type of financial products based on the use of Black-Scholes option pricing ideas and Δ-hedging techniques, based on the characteristics of the deposit options and the corresponding terms. The final value of the corresponding changes to the model conditions can be deduced corresponding pricing formula.
Under the risk-neutral assumption, the paper selected domestic relatively new "Change-win" formula pricing of financial products to do the analysis. In the introduction to the theoretical basis of the pricing in the domestic launch of the corresponding type of financial products, for example. Collect data on the product, through MATLAB programming, more intuitive results fluctuate images. Explain the change in the relationship between volatility and option value through the results. Then based on the data in this product, both products come purely bullish bearish corresponding contrast images. Change finally win financial products and simple bullish, bearish products to compare.
Keywords: foreign exchange financing products Black Scholes option pricing formula one options pricing research risk models
目 录
第一章 绪论 …………………………………………………………………5
1.1研究背景 ……………………………………………………………………5
1.2 研究意义 ……………………………………………………………………5
1.3国外研究 ……………………………………………………………………6
1.4国内研究 ……………………………………………………………………6
第二章 相关理论与概念概述…………………………………………………8
2.1 外汇理财产品概念 …………………………………………………………8
2.2 外汇理财产品分类 …………………………………………………………8
2.3理论基础……………………………………………………………………10
2.4产品特点……………………………………………………………………12
2.5构造模型……………………………………………………………………12
第三章一种“涨跌双赢”理财产品定价的实例分析……………………12
3.1选材对象……………………………………………………………………19
3.2产品收益测算 ……………………………………………………………19
3.3可研究的科学性和合理性 ………………………………………………20
3.4数据分析 …………………………………………………………………20
第四章 总结 …………………………………………………………………24
致谢 …………………………………………………………………………………25
参考文献 ……………………………………………………………………………26
附录 …………………………………………………………………………………28
摘要
外汇理财产品是以普通存款为基础，运用银行的理财产品，与汇率、利率等挂钩。在承受市场变化的风险情况下，获得相对较大收益的新型金融产品。其融合了固定收益证券和金融衍生品的特征。
本文首先在绪论部分指明了研究背景及意义，同时梳理出相关文献对此问题研究的研究成果。在简单介绍了外汇理财产品概念和不同分类下的相应理财产品类型的基础上，运用Black-Scholes的期权定价思想和Δ-对冲技巧，根据存款期权的特征和相应的条款。变更模型相应的终值条件，可以推导出相应的定价公式。
在风险中性假设条件下，本文选取国内较为新颖的“涨跌双赢”式理财产品做定价分析。在介绍该定价的理论基础后，在以国内推出的相应类型的理财产品为例。搜集该产品的数据，通过MATLAB编程，得出比较直观的波动图像。通过所得结果解释波动率与期权价值之间的变化关系。然后在以此产品数据为基础，得出单纯看涨看跌型两种产品相应的与“涨跌双赢”对比的图像。最后将涨跌双赢型理财产品与单纯看涨、看跌型产品在市场波动的情况下期权价值与涨幅空间的比较。
关键词：外汇理财产品 Black-Scholes的期权定价公式 期权 定价研究 风险模型
PRICING OF THE BANK’S FOREIGN EXCHANGE-LINKED FINANCIAL PRODUCTS
ABSTRACT
Foreign exchange financing products based on ordinary deposits, based on the use of the bank's financial products linked to exchange rates, interest rates and so on. In bear the risk of changes in the market situation, access to relatively large gains new financial products. Which combines income securities and financial derivatives feature fixed.
This article first pointed out in the introduction part of the research background and significance, and to tease out the relevant research literature research on this issue. In a brief introduction to the concept of foreign exchange and financial products under different categories corresponding to the type of financial products based on the use of Black-Scholes option pricing ideas and Δ-hedging techniques, based on the characteristics of the deposit options and the corresponding terms. The final value of the corresponding changes to the model conditions can be deduced corresponding pricing formula.
Under the risk-neutral assumption, the paper selected domestic relatively new "Change-win" formula pricing of financial products to do the analysis. In the introduction to the theoretical basis of the pricing in the domestic launch of the corresponding type of financial products, for example. Collect data on the product, through MATLAB programming, more intuitive results fluctuate images. Explain the change in the relationship between volatility and option value through the results. Then based on the data in this product, both products come purely bullish bearish corresponding contrast images. Change finally win financial products and simple bullish, bearish products to compare.
Keywords: foreign exchange financing products Black Scholes option pricing formula one options pricing research risk models
