均价型重设认购权证的定价

我国权证市场处于起步阶段,所发行权证均为标准型权证。借鉴成熟权证市场的经验,新奇型权证必然是我国权证市场的发展趋势。重设型认购权证和平均价认购权证是成熟权证市场经常发行的两种新奇型权证。将这两种新奇型权证的特点相结合,设计一种均价型重设认购权证,采用CRR方法对其进行定价,并且分析参数Delta的性质,发现当股价下跌时,均价型重设认购权证相对于标准重设型认购权证和平均价认购权证对投资者和券商更为有利。

Pricing Average-style Rexet Options with CRR Model

The option market of our country is still at the initial stage, which issue options are standard-style options. Using the experience of maturity option markets, exotic options are the inevitable trend of our option markets. Reset call options and average call options are often issued in maturity option markets. The characteristics of these two options is combined and designed an average-style reset option and priced it with binomial tree model, then analysed the character of Delta. The stock price declines the average-style reset option is more benefit to investors and securities company than the standard reset options and the average options.