An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Mechanical Engineering in Slavonski Brod, Faculty of Electrical Engineering in Osijek, Faculty of Civil Engineering in Osijek
2023-01-01
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| Series: | Tehnički Vjesnik |
| Subjects: | |
| Online Access: | https://hrcak.srce.hr/file/417630 |
| _version_ | 1797206569382838272 |
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| author | Wang Weiwei Gu Guoqing Sun Fameng Hu Xiaoping |
| author_facet | Wang Weiwei Gu Guoqing Sun Fameng Hu Xiaoping |
| author_sort | Wang Weiwei |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-24T09:09:06Z |
| format | Article |
| id | doaj.art-1fcbdf92f3a94ae6a87c2fbdb03e3a80 |
| institution | Directory Open Access Journal |
| issn | 1330-3651 1848-6339 |
| language | English |
| last_indexed | 2024-04-24T09:09:06Z |
| publishDate | 2023-01-01 |
| publisher | Faculty of Mechanical Engineering in Slavonski Brod, Faculty of Electrical Engineering in Osijek, Faculty of Civil Engineering in Osijek |
| record_format | Article |
| series | Tehnički Vjesnik |
| spelling | doaj.art-1fcbdf92f3a94ae6a87c2fbdb03e3a802024-04-15T18:11:36ZengFaculty of Mechanical Engineering in Slavonski Brod, Faculty of Electrical Engineering in Osijek, Faculty of Civil Engineering in OsijekTehnički Vjesnik1330-36511848-63392023-01-0130121722510.17559/TV-20220621092125An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured ProductWang Weiwei0Gu Guoqing1Sun Fameng2Hu Xiaoping3School of Applied Technology, Nanjing University of Information Science and Technology, Nanjing 210044, P. R. ChinaFinance Office, Jiangsu Open University, Nanjing 210036, P. R. ChinaSinopec Chemical Sales Co., Ltd. Jiangsu Branch, Nanjing 210002, P. R. ChinaSchool of Economics and Management, Southeast University, Nanjing 210096, P. R. ChinaThis 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.https://hrcak.srce.hr/file/417630market segmentationpricingsensitivity analysisstructured product |
| spellingShingle | Wang Weiwei Gu Guoqing Sun Fameng Hu Xiaoping An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product Tehnički Vjesnik market segmentation pricing sensitivity analysis structured product |
| title | An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product |
| title_full | An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product |
| title_fullStr | An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product |
| title_full_unstemmed | An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product |
| title_short | An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product |
| title_sort | optimization approach for pricing analysis on a bank wealth management equity structured product |
| topic | market segmentation pricing sensitivity analysis structured product |
| url | https://hrcak.srce.hr/file/417630 |
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