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券商集合理财产品定价问题研究 被引量：2

Pricing of Security Investment Products
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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. 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.
作者 梁进 孔亮亮 马俊美
机构地区 同济大学数学系 上海财经大学应用数学系
出处 《同济大学学报（自然科学版）》 EI CAS CSCD 北大核心 2010年第10期1550-1555,共6页 Journal of Tongji University:Natural Science
基金 国家"九七三"重点基础研究发展计划资助项目(2007CB814903)
关键词 券商集合理财 保底条款 提前转开 偏微分方程 BLACK-SCHOLES模型 security investment products guarantee clause early exercise condition partial differential equation Black-Scholes model
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献10

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二级参考文献9

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共引文献11

同被引文献30

  • 1陈瑜,王尔刚.限定性券商集合资产管理计划的定价和分析[J].统计与咨询,2009(5):16-17. 被引量：2
  • 2张永鹏,陈华.信息不对称情况下基金管理人的最优激励合同[J].系统工程理论方法应用,2004,13(5):443-446. 被引量：14
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引证文献2

二级引证文献4

同济大学学报（自然科学版）
2010年 第10期

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