| 券商集合理财产品定价问题研究 |
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| 引用本文： | 梁进,孔亮亮,马俊美.券商集合理财产品定价问题研究[J].同济大学学报(自然科学版),2010,38(10):1550-1555. |
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| 作者姓名： | 梁进 孔亮亮 马俊美 |
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| 作者单位： | 1. 同济大学,数学系,上海,200092
2. 上海财经大学,应用数学系,上海,200433 |
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| 基金项目： | 国家重点基础研究发展计划（973计划）子课题：信用风险分析和信用衍生产品定价项目资助（编号2007CB814903） |
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| 摘 要： | 基于Black-Scholes期权定价模型,用偏微分方程方法,研究其定价和性质.通过对冲技巧及It公式,在双因子模型下,建立了具提前转开条款的券商集合理财产品的定价模型,用差分方法得到了定价的数值解.通过固定封闭期模型与一般转开模型的比较,分析了转开条款带来的流动性价值.最后,利用理论结果,对实际产品——光大阳光集合理财产品进行实证分析,并讨论模型在定价中的作用及局限.
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| 关 键 词： | 券商集合理财 保底条款 提前转开 偏微分方程 BlackScholes模型 |
| 收稿时间： | 2008/10/31 0:00:00 |
| 修稿时间： | 2009/12/26 0:00:00 |
Pricing of Security Investment Products |
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| LIANG Jin,KONG Liangliang and MA Junmei.Pricing of Security Investment Products[J].Journal of Tongji University(Natural Science),2010,38(10):1550-1555. |
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| Authors: | LIANG Jin KONG Liangliang and MA Junmei |
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| Institution: | Department of Mathematics,Tongji University,Shanghai 200092,China;Department of Mathematics,Tongji University,Shanghai 200092,China;Department of Applied Mathematics,Shanghai University of Finance and Economics,Shanghai 200433,China |
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| Abstract: | Based on Black-Scholes Model, the pricing of SIPs was investigated with PDE method.With the double-factor model,a pricing model for the SIPs was established with an earlier exercise condition according to hedging techniques and Ito Lemma.And the numerical solution was obtained with the difference method.The value of the liquidity was analyzed by comparing the models with or without the early open condition.Finally,a case study was made of Guangda SIP.The roles the model in pricing and its limits were discussed as well. |
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| Keywords: | security investment products guarantee clause early exercise condition partial differential equation Black-Scholes model |
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