He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.
Citation:
He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.
He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.
Citation:
He Liang. Research on Pricing Multi-asset Structured Financing Products: Taking ZYJQ09001A as a Sample[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(4): 66-70.
Using Monte Carlo Simulation, Cholesky Decomposition, taking ZYJQ09001A issued by Bank of China as an example, rationality of pricing multi-asset structured financial products is studied. The results show that ZYJQ09001A's issuing price with 1.91% implied premium rate is slightly more than its theoretical value. So it is proposed that government and regulators should establish a sound management approach on structured financial products; Commercial Banks should improve the pricing mechanism and information disclosure mechanisms for structured financial products.
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