Original scientific paper

https://doi.org/10.17559/TV-20220621092125

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product

Wang Weiwei orcid.org/0000-0001-6254-0692 ; School of Applied Technology, Nanjing University of Information Science and Technology, Nanjing 210044, P. R. China
Gu Guoqing ; Finance Office, Jiangsu Open University, Nanjing 210036, P. R. China
Sun Fameng ; Sinopec Chemical Sales Co., Ltd. Jiangsu Branch, Nanjing 210002, P. R. China
Hu Xiaoping ; School of Economics and Management, Southeast University, Nanjing 210096, P. R. China

Abstract

This paper researches on the pricing and design of a certain stock-type structured product. Firstly, a semi-analytic pricing model is deduced by discounting the payoff function of the product. Secondly, the difference between publishers' and investors' required rate of return is explained with market segmentation theory when estimating the pricing model’s parameters, which defines the cost and sale price of a product. Finally, with sensitivity analysis, it is concluded that publishers can increase their profits by extending the due date of the product or publishing it with relatively large asset volatility. The study aims to help publishers make reasonable product design and pricing decisions.

Keywords

market segmentation; pricing; sensitivity analysis; structured product

Hrčak ID:

288415

URI

https://hrcak.srce.hr/288415

Publication date:

15.12.2022.

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