对“与股票指数挂钩的分红保底型基金”的条款设计与定价研究

【作者】 熊劲；

【导师】 邓光军；

【作者基本信息】 电子科技大学 ， 工商管理， 2010， 硕士

【摘要】 近年来,随着人们金融意识的逐步增强,储蓄已不能满足人们理财的需要。人们对投资理财有了更多的要求。然而,单纯的股票市场和债券市场已不能完全满足他们的需求。针对人们不同的风险偏好和投资回报期望,一些金融机构推出了一系列金融创新产品(如权证,基金等)以满足这些投资理财的需求。上述这些金融产品的条款设计与准确地定价,对于投资者和金融机构来说,都有着十分重要的现实意义。本文首先对国内证券市场上保底型基金的历史,现状进行了阐述。然后对期权定价的理论、方法及模型进行了总结。最后,本文采用Monte Carlo模拟技术对一款“与股票指数挂钩的分红保底型基金”进行了理论定价与实证,并将模拟结果与“南方避险增值202202”的实际市场份额净值进行了对比,分析了偏差存在的原因。更多还原

【Abstract】 In the recent years, with the people’s financial sense was escalated, the deposit has not satisfied the demand of the people’s financing. The people has more claims about the investment financing, however, the simple stock and bond market have not satisfied their demands completely. Aiming at the different risk preference and expectation of ROI, some financial institutions have launched a series of FP innovation, such as Option Fund etc, to meet the demands of investment financing. The design clause and accurate pricing of the financial production so you say, have very important realistic significance for the investor and the financial institution.In this paper,first introducing the development and actuality of the fund on the securities market in the domestic, in particular, the Fund With Promised Lowest Return.After that, summarizing the theory, means and model of the option pricing.Finally, Pricing and demonstrating the Profit-Sharing Principal-Protected fund with Monte Carlo simulation technique, and verify the simulation value with the actual market net value on "The Southern Hedge-Increment Fund 202202", analyze the cause of the bringing deviation.更多还原