Analysis of the Pricing of Structured Products Linked to China Securities Index 300 index

DOI

10.2991/978-94-6239-801-6_31How to use a DOI?

Keywords

Pricing of Structured Products; China Securities Index 300 Index; Monte Carlo Simulation

Abstract

Under the situation that the actual return of residential deposits is low or even negative due to the current bank interest rate, structured products have gained the favor of the market by means of their fixed income part of capital preservation and low risk and financial derivatives part of pursuing income. In this paper, the structured deposits linked to China Securities Index (CSI) 300 index are selected for pricing, and the value of the products is divided into fixed income and option parts. Based on Monte Carlo simulation, the Geometric Brownian Motion (GBM) model is verified by Augmented Dickey-Fuller (ADF) test, log-return autocorrelation and normal distribution test, and Autoregressive Conditional Heteroskedasticity - Lagrange Multiplier (ARCH-LM) test for pricing analysis, and the average annualized return of the whole sample is 1.39%. The total present value of the option part is 2362.19 yuan, and the discounted present value of the principal is 997,557.66 yuan. The principal is preserved, and the product is sold at a discount of 80.15. The bank holds a conservative pricing strategy for it, with a higher expected income elasticity of the target and a higher cost performance of the income game, which can effectively replace time deposits. The pricing strategy in this paper can be used for banks’ risk control and hedging, product architecture design, and consumer's rational investment decisions.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhenyu Yang
PY  - 2026
DA  - 2026/10/23
TI  - Analysis of the Pricing of Structured Products Linked to China Securities Index 300 index
BT  - Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
PB  - Atlantis Press
SP  - 274
EP  - 281
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-801-6_31
DO  - 10.2991/978-94-6239-801-6_31
ID  - Yang2026
ER  -