基于二元期权组合的看涨宝收益凭证产品定价研究

A Study on Pricing of Kanzhangbao Income Document Product Based on Binary Options

摘要: 在国际金融市场上，期权产品的交易量以递增的速度逐年增长，期权在衍生品市场上的地位将显著提高，不论是期权产品的设计者还是投资者，都应该对期权的定价有一定的了解以便于更好地在期权市场获取收益。本文首先介绍了金融衍生品市场的发展历史，其中详细描述了二元数字期权的概念、分类和优缺点并推导了二元期权组合的定价方法；之后简单介绍了看涨宝收益凭证产品，对此产品的收益结构、各项指标的设计、产品特色进行客观的详细分析；最后利用Black-Scholes期权定价模型推导出此产品的定价函数，运用蒙特卡洛方法对其进行模拟定价。

Abstract: In the international financial markets, the trading volume of options products grows at an in-creasing rate, and the position of options in the derivatives market will increase significantly. Both the designer and the investor of the option product should have a certain understanding of the pricing of options in order to better benefit from the options market. This paper first introduces the development of the financial derivatives market, which describes in detail the concept, classi-fication and advantages and disadvantages of the binary digital options and deduces the pricing method of binary option combination. After that, it briefly introduces the product of Kanzhangbao income document products and objectively detailed analyze the income structure of this product, the design of the indicators, and product features. Finally, the pricing function of this product is deduced by using the Black-Scholes option pricing model, and Monte-Carlo methods is used to si-mulate the pricing.