ARIMA族汇率挂钩型触发式理财产品定价研究

A Study on the Pricing of ARIMA Family-Linked Triggering Financial Products

摘要: 本文以2017年11月20日至11月25日美元/日元汇率值收盘价为样本数据，研究挂钩于美元兑日元的触发式理财产品的定价问题。首先对汇率数据进行统计分析，利用对数差分方法对数据进行平稳化处理；其次根据AIC准则和极大似然值统计量选出对汇率拟合效果最佳的模型为MA(1)模型，再次考虑到残差不服从正态分布的情况，利用逆变换的方法进行残差拟合，并将其用于风险资产价格的预测；最后通过Monte-Carlo模拟，对触发式理财产品进行了价值分析。

Abstract: In this paper, triggering financial products are studied based on the data of dollar/yen exchange rate from 20 November to 25 November in 2017. Firstly, statistical analysis was conducted on the exchange rate data which is changed to stationary panel data by logarithmic difference method. Secondly, model MA(1) is chosen as the optimum time series model using AIC criterion and maxi-mum likelihood. Noting the fact that the data of residual do not follow normal distributions, we use inverse transformation to fit the residual data which is used to predict the price of risk assets. Finally, the value of triggering financial products is analyzed by the Monte-Carlo simulation method.