DocumentCode
2207061
Title
Research on pricing of exchange rate linked structured financial products
Author
Jiang, Min-dan
Author_Institution
Dept. of Int. Bus. & Manage., Shanghai Univ., Shanghai, China
fYear
2011
fDate
9-11 Sept. 2011
Firstpage
3275
Lastpage
3278
Abstract
Exchange rate linked structured financial products occupies an important position in the financial market, but some products promise clients very high revenue, which might only be unmoral phenomena and would not last long. Therefore, pricing them is the key and difficult issue, this paper review the pricing theory of structured financial products, discuss differential equation methods based on currency options and Montle-Carlo simulation methods. Then apply this two pricing methods to make an empirical study on real products. In the end, give its financial meanings.
Keywords
Monte Carlo methods; differential equations; exchange rates; pricing; stock markets; Montle Carlo simulation method; differential equation method; exchange rate linked structured financial products; financial market; pricing theory; revenue; Educational institutions; Exchange rates; Mathematical model; Monte Carlo methods; Pricing; Montle-Carlo simulation; currency option; structured financial products;
fLanguage
English
Publisher
ieee
Conference_Titel
Electronics, Communications and Control (ICECC), 2011 International Conference on
Conference_Location
Zhejiang
Print_ISBN
978-1-4577-0320-1
Type
conf
DOI
10.1109/ICECC.2011.6068173
Filename
6068173
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