Research on Pricing of Automatic Redemption Structured Deposit Products Based on Monte Carlo Simulation

Wenlu Chen

2024

Abstract

Structured deposit is one of the priorities today. It provides better options for investors and fills a gap in the market. However, due to his short development in the market, it lacks a unified understanding. Therefore, the topic of this paper is the pricing of structured deposit products. The research methods of this paper are as follows: First of all, the paper simulates the income of the product and introduces the basic information and income of a product to better explain the structured deposit product. Then, nine different market environments and various parameters are assumed, and the Monte Carlo method is used to simulate the price path of assets. According to the circumstances of nine different market environments, the annual expected return rate and annual volatility and estimated, and their sensitivity analysis is carried out. Finally, it is concluded which market environment has the highest product return, and the annual expected return is positively correlated with exercise price 1, and negatively correlated with exercise price 2, and the annual volatility has nothing to do with the exercise price.

Paper Citation

in Harvard Style

Chen W. (2024). Research on Pricing of Automatic Redemption Structured Deposit Products Based on Monte Carlo Simulation. In Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE; ISBN 978-989-758-690-3, SciTePress, pages 17-21. DOI: 10.5220/0012815500004547

in Bibtex Style

@conference{icdse24,
author={Wenlu Chen},
title={Research on Pricing of Automatic Redemption Structured Deposit Products Based on Monte Carlo Simulation},
booktitle={Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE},
year={2024},
pages={17-21},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012815500004547},
isbn={978-989-758-690-3},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE
TI - Research on Pricing of Automatic Redemption Structured Deposit Products Based on Monte Carlo Simulation
SN - 978-989-758-690-3
AU - Chen W.
PY - 2024
SP - 17
EP - 21
DO - 10.5220/0012815500004547
PB - SciTePress