时变波动率下多资产到期理财产品定价研究

Research on Pricing of Multi-Asset Maturity Wealth Management Products under Time-Varying Volatility

摘要: 本文在时变波动率模型下，利用蒙特卡罗模拟研究了一类多资产到期理财产品的定价问题。为了进一步提高蒙特卡罗的模拟精度和收敛速度，利用主成分分析法构造了对应的方差缩减方案，并将该方案应用于一款挂钩多股票的到期理财产品定价中。结果表明，该方案既可以减小模拟的复杂程度，又提高了理财产品的定价精度。

Abstract: In this paper, under the time-varying volatility model, Monte Carlo simulation is used to study the pricing of a class of multi-asset financial products. In order to further improve Monte Carlo’s sim-ulation accuracy and convergence speed, the corresponding variance reduction scheme was con-structed using principal component analysis and applied to the pricing of a wealth management product linked to multiple stocks. The results show that this scheme can not only reduce the com-plexity of simulation, but also improve the pricing accuracy of financial products.