我国备兑权证定价及避险方法研究

《我国备兑权证定价及避险方法研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、我国备兑权证定价及避险方法研究ResearchonPricingandHedgingStrategyofChinaCoveredWarrants博士学位论文一级学科：管理科学与工程学科专业：管理科学与工程作者姓名：颜阳指导教师：李敏强教授天津大学管理学院2007年8月AbstractABSTRACTThecoveredwarrant，anovelderivativesecurity。bringsanewinvestmentproducttothefinancialmarkets．Itprovidesanewmethodtomanagerisk，strengthensChineseb

2、rokers’competitivity,andconnectsChinafinancialmarketstotheglobalfinancialmarkets．SinceitiSahighriskinvestmenttoolaswellduetoitsspecificfeatures，thepricingofthecoveredwarrantisveryimportanttobothinvestorsandissuerstomanageinvestmentrisks．whichiStheresearchfocusofthisdissertation．Themaincontents

3、ofthisdissertationareasfoUows．First，theconceptsofthecoveredwarrantareintroducedbriefly,anditsspecificfeaturesarecharacterized．ThedevelopmenthistoryandstatusquoofcoveredwarrantsinChineseandoverseafinancial．marketsarereviewed．andtheimportanceofdevelopingcoveredwarrantmarketinthemainlandfinancial

4、marketsofChinaispointedout．Thenwediscussthemajorpricingmodelsforthecoveredwarrants，andreviewthedomesticandforeignresearchesaboutpricingmodels．WeadoptmainlytheBlack．SholesModel．theBinominalModel。andtheBoyle&VorstModeItoanalyzel2coveredwarrantsissuedinthemainlandfinancialmarketofChinabyusingtheh

5、istoricalvolatilityandtheimpliedvolatility．TheanalysesreveaIthattheBoyle&VorstmodelistheoptimalpricingmodelforthecoveredwarrantsinthemainlandfinancialmarketsofChinabasedontheimpliedvolatility．Comparatively,itoffersabetterpricingmodelforthecoveredwarrantinmainlandfinancialmarkets．Next，thehedgin

6、gs仃ategybasedoncoveredwarrantsandtheirunderlyingstocksareanalyzed．FourhedgingstrategiesareproposedbasedontheWilmottmodel，theLelandmodel，theDeltaintervalhedgingstrategy,andthemaximizedutilitystrategy．ByusingtheMonteCarlosimulation，weinvestigatethecoveredwarrantsthatareeitherexpiredornot-expired

7、．andevaluatethesestrategieswithoverallprofit-and—lossindexesandoverallVaR．Thesensitivityanalysesofthesestrategiesarealsocarriedout．Intheseventhchapterofthisdissertation，theideaandschemefordesigningandrealizingtheinformationsystemforcove