摘要
应用Black-Scholes方程,对一类线性收益汇率挂钩型结构性存款的定价问题进行研究。利用Δ-对冲和无套利原理建立了定价模型,给出了具体的定价公式,最后,通过一个具体实例对模型中各参数进行了敏感性分析。结果表明,线性收益汇率挂钩型存款实际上可以看作是一个障碍期权嵌入到一个点位触发型存款产品中。在设计这类产品时,基本收益率和额外收益率的大小对产品价值的影响,明显大于其他因素。
The pricing problem of structured deposits of linear yield and exchange rate-linked has been discussed using Black-Scholes equation.Firstly,based on the Δ-hedging and arbitrage-free principle,a pricing model is established.Then a pricing formula is obtained.Finally the formula is applied to an example and sensitivity is also analyzed.The result shows that structured deposits of linear yield and exchange rate-linked are regarded as a combination of a barrier option and a trigger point-type deposit.When the product is designed,the impacts of the rate of basic yield and additional return on the value are greater than other facts.
出处
《系统管理学报》
CSSCI
北大核心
2010年第5期520-525,共6页
Journal of Systems & Management
基金
上海市教委科学创新基金资助项目(08YS20)
关键词
结构性存款
定价
汇率挂钩
Structured deposits
Pricing
Exchange rate-linked
