Structured Investment Products Pricing and empirical research
|School||Shanghai Jiaotong University|
|Course||Probability Theory and Mathematical Statistics|
|Keywords||Structured Investment Products Trigger price Stochastic interest rate Forward Measure Geometric Brownian motion|
Since salomon brothers in 1986 issued the first SPIN structured investment products, such products has gradually become a very important part of financial markets. Such products are generally defined as the combination of fixed income products and derivative contracts. Because of its flexible design so I can meet different investors have different risk to bear ability and different demand returns, so the launch was favored by investors. In this paper, we study a class of linked to stock index of the structured investment products pricing. The assumption that under the situation of random interest rate, the transformation through the valuation and risk neutral pricing method for this kind of product pricing have been deduced in theory, expression and the true value of this product. In empirical study, followed by the monte carlo simulation, simulating returns to investors, and, in turn, to the true value of this product are analyzed, and verified the rationality of pricing model.