摘 要
分级基金是国内一种创新的结构化产品，它将母基金份额按照不
同的收益方式分割为不同风险级别的子基金份额，低风险份额通常情
况下能够按照约定提供较为稳定的收益，而高风险份额则在确保低风
险份额获取约定收益之后再分配母基金获得的收益。

本文介绍了分级基金的基本情况及其在国内的发展现状，对市场
上现有产品做了梳理。同时对分级基金产品的设计要素进行了归纳总
结，定性分析了各要素对产品价格的影响。使用了 Black-Scholes 模
型和蒙特卡洛模拟对部分产品进行理论定价，并与市场价格相比较修
正所得结果，发现理论定价对高风险份额更为适用。全文最后讨论了
产品杠杆与理论价格、实际价格之间的关系。

关键字：分级基金，约定收益，杠杆倍数，Black-Scholes 模型，蒙特
卡洛模拟，线性回归
Structured mutual fund is one kind of innovative structured financial
products in China. It divides the mother-fund into sub-funds with
different risk levels according to different return modes. The sub-fund
with low risk level normally obtains stable return decided in advance,
while that with high risk level has to obtain its share of the mother-fund
return after the previous one.
This thesis introduces the background and development status of
structured mutual fund in China, and generalizes current products in
market. Meanwhile, it summarizes the design features of structured
mutual fund and analyzes qualitatively the impact of the features to the
market price. It also uses Black-Scholes model and Monte Carlo
simulation to calculate the theoretical price, and calibrates the results
using linear regression with actual market price, which finds that
theoretical pricing is more suitable for high-risk sub-fund. Finally, this
thesis discusses the relationship among the leverage, theoretical price and
actual price.
KEY WORDS: structured mutual fund, predetermined gains, leverage,
Black-Scholes model, Monte Carlo simulation, linear regression.