Research on the Pricing Strategy of Stock-linked Structured Financial Products Based on Cholesky Decomposition and Monte Carlo Simulation

Taking multi-stock-linked structured financial products as the research object, this paper uses Cholesky decomposition method and Monte Carlo simulation method to make theoretical analysis and pricing research on stock structured financial products with complex income design terms. Select a 6-month stock-linked structured financial product issued by HSBC to carry out an empirical analysis on the pricing of the product, so as to show the application of Cholesky decomposition combined with Monte Carlo simulation pricing method in multi-asset structured financial products. The research results show that Cholesky decomposition combined with Monte Carlo simulation pricing method is more suitable for the pricing of multi-stock-linked financial products whose asset prices follow a normal distribution; Empirical analysis finds that the pricing of HSBC's financial products is high and the actual rate of return is low.