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The Pricing of Brokerage Collection Product

Author: YangYun
Tutor: WangGuoJing
School: Suzhou University
Course: Probability Theory and Mathematical Statistics
Keywords: Brokerage Collection Product Brown Motion Martingale Self-Financing Portfolio Change of Measure
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 227
Quote: 2
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Abstract


Brokerage Collection Product refers to a financial service that brokers invest the fund entrusted by the investors into stocks, bonds and other financial products. Early in 2009, Brokerage Collection Products were warmly favored by investors as the market showed a wave of intensive issuing and the quantity and category of products grow rapidly.This paper mainly studies the Dongfanghong 3rd Product and set up a mathematical model taking constant and functional interest rates and investment ratio into account sepa-rately. Then invest the fund into bonds and equities, using stochastic analysis and martingale methods to give out the pricing formula of the brokerage collection product and apply it to the market. When compare it with other models, we find that the more investment types there are, the higher the price of brokerage collection product would be. And when the volatility of the stock market is low, the variance of the price of brokerage collection product is more stable as investment ratio varies. In contrast, when the volatility of stock market is high, the price is more sensitive as investment ratio varies.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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