一类保本结构型理财产品的收益分布研究

综合运用傅里叶变换、复变函数和概率论等数学工具,研究一类保本结构型理财产品,通过严密推导得到了这类保本理财产品的预期收益计算公式,并通过数值计算得出了这类理财产品的收益分布情况.分析表明规定最高收益率的保本理财产品的理论价格的变动并不是基础资产价格波动率的单调函数,理论价格随基础资产价格波动率的增加先减小再增加,当基础资产的价格波动率较大时,购买此种理财产品并不能获得高于定期存款的收益.

Research on Distribution of Expected Return of a Class of Structured Financial Product with Capital Protection

This paper comprehensively used Fourier transform, Complex Variables and Probability theory to study a class of structured product with capital protection. The result shows that the theoretical price of structured product with capital protection is not a monotonous function of underlying asset, and as the volatility of underlying asset changes from 0 to 1 , the theoretical price of the structured product will decrease first, then increase. When the volatility of underlying asset is large e- nough, the return rate of the product is lower than the return rate of fixed deposits with the same term.