Pricing Research on China Merchants Bank's "Focus Link Series" Equity-Index-Linked Structured Wealth Management Product

This study conducts an in-depth analysis of the pricing mechanism of China Merchants Bank's "Focus Link Series" equity-index-linked structured wealth management products, using the CSI 300 Index as the underlying asset. It systematically examines the pricing challenges of long-term structured products containing path-dependent clauses and volatility clustering characteristics. By constructing a hybrid pricing framework that employs discounted cash flow methods for fixed-income valuation and GARCH-calibrated Monte Carlo simulation for option pricing, the research reveals significant issuance premium in this 10-year product. Empirical results show an annualized volatility of 16.38% for the product. Greek analysis indicates negative Delta and positive Gamma values, demonstrating the product's unique sensitivity to underlying asset price movements. The study innovatively combines path-dependent Monte Carlo simulation with GARCH volatility modeling, expanding the theoretical framework for pricing structured products in China. Findings suggest that issuers should optimize long-term product pricing mechanisms and establish dynamic risk monitoring systems, while investors should fully understand the return distribution characteristics of structured products. Through rigorous quantitative analysis, this research provides new theoretical perspectives and empirical evidence for understanding the pricing logic of complex financial products in China's financial markets.