期权定价模型的非金融衍生因素分析  

Non-financial Derivative Factor Analysis of Option Pricing Model

作　　者：梁缤尹[1] 姜纯成[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《系统工程》2005年第7期73-76,共4页Systems Engineering

摘　　要：非金融衍生因素主要是指其标的物是影响公司价值的非直接因素,比如:气温,降水量等。因此非金融衍生因素的标的物是没有直接价格的。通过结合金融资产定价模型原理,非金融衍生物可以借助保险分散化原理,集合非直接风险的实际影响概率来调整期权定价的价格,从而达到进行风险管理目标。The underlying asset of non-financial derivative was defined as an indirect factor to affect company＇s value, such as temperature or precipitation, this untradeable index .separates the non-financial derivative from other traditional hedging instrument, because there is no basis to price it. Based on the asset pricing principle, and combining the financial propertypricing model, non-financial derivative can be priced by adopting. The principle of actuarial probabilities of occurrence of different risks in insurance with option pricing and hedging algorithms.

关 键 词：非金融衍生物 标的物 定价方式 

分 类 号：F830[经济管理—金融学]