| Abstract | 第1-7页 |
| 摘要 | 第7-10页 |
| 1. Introduction | 第10-14页 |
| ·Literature Review | 第11-14页 |
| 2. Background of the Thesis | 第14-32页 |
| ·Structured Products | 第14-20页 |
| ·Biggest Structured Mutual Fund Company –Proshares | 第20-22页 |
| ·The Development of Structured Mutual Fund in China | 第22-28页 |
| ·Some basic knowledge of financial engineering necessary for the thesis | 第28-32页 |
| 3. Using Digital Option Pricing Model to price the Structured Mutual Fund | 第32-52页 |
| ·Use Digital Option to price Changsheng Tongqing | 第32-42页 |
| ·Parameter estimation and Results of Pricing | 第42-47页 |
| ·Improvement in risk free rate and close end discount | 第47-52页 |
| 4. Stochastic Volatility Model | 第52-76页 |
| ·The Heston Model | 第52-57页 |
| ·Calibration of the Model | 第57-66页 |
| ·Pricing Tongqing A and Tongqing B using Heston Model | 第66-68页 |
| ·Testing the statistic difference and result analysis | 第68-69页 |
| ·Possible reasons that theoretical values differ from market values | 第69-73页 |
| ·Economic intuition and Further work | 第73-76页 |
| 5. Conclusion | 第76-77页 |
| Bibliography | 第77-79页 |
| Appendix | 第79-83页 |
| A.1 Pricing European Call using Numerical Integration | 第79-80页 |
| A.2 Calibration using Matlab's lsqnonlin | 第80-81页 |
| A.3 Pricing Tongqing A and Tongqing B using Heston Model | 第81页 |
| A.4 Average discounts in Chinese closed-end funds | 第81-83页 |
| Acknowledgments | 第83页 |
