| 特殊剩余价值形式的牛熊证定价研究 |
| |
| 引用本文： | 邓社文,李冬红.特殊剩余价值形式的牛熊证定价研究[J].系统工程学报,2012,27(2):231-236. |
| |
| 作者姓名： | 邓社文 李冬红 |
| |
| 作者单位： | 1. 中央财经大学应用数学学院,北京100081;对外经济贸易大学国际经济贸易学院,北京100029
2. 中央财经大学应用数学学院,北京,100081 |
| |
| 基金项目： | 国家自然科学基金青年项目(70901079) |
| |
| 摘 要： | 牛熊证是在香港交易所交易的新型金融衍生产品,能追踪相关资产的表现而无须支付购入实际资产的全数金额.本文在Black-Scholes期权定价模型的基础上,根据牛证与熊证的价值性质,推导出满足相应条件的偏微分方程,并应用热传导方程的求解方法,得出特殊剩余价值形式的牛证与熊证的模型定价公式.通过对比分析得知,该模型定价低于其理论定价.
|
| 关 键 词： | 牛熊证定价模型 Black-Scholes期权定价模型 热传导方程 特殊剩余价值形式 |
Research on the pricing of callable bull/bear contracts with special form of residual value |
| |
| DENG She-wen
,
LI Dong-hong.Research on the pricing of callable bull/bear contracts with special form of residual value[J].Journal of Systems Engineering,2012,27(2):231-236. |
| |
| Authors: | DENG She-wen LI Dong-hong |
| |
| Institution: | 1 (1.Applied Mathematics School,Central University of Finance and Economics,Beijing 100081,China;2.School of International Trade and Economics,University of International Business and Economics,Beijing 100029,China ) |
| |
| Abstract: | Callable bull/bear contracts(CBBCs) are a new type of financial derivative product,it can track the performance of an underlying asset without requiring investors to pay the asset’s full price.Based on the Black-Scholes pricing model of options and value property of CBBCs,this paper establishes the partial differential equation(PDE) for CBBCs.By solving the PDE with the solution for equation of heat conduction,the paper derives the pricing formula that has special form of residual value.The price from the above pricing formula is less than the theoretical price of CBBCs by contrastive analysis. |
| |
| Keywords: | callable bull/bear contracts(CBBCs) pricing model Black-Scholes pricing model equation of heat conduction special form of residual value |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
