基于回望期权考虑备用保证金的期货定价模型  

Pricing Futures Contract Considering Reserve Margin Based on Lookback Option Model

作　　者：黄伟[1] 刘海龙[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《上海交通大学学报》2009年第4期550-554,共5页Journal of Shanghai Jiaotong University

摘　　要：基于备用保证金与回望期权具有共同的路径依赖特性,构建期货市场备用保证金回望期权模型,进而度量出在期货建仓时点持有期货空头或多头的备用保证金额度.考虑到备用保证金是实际期货套利操作的必要构成要素,是交易成本的一个组成部分,将备用保证金引入无套利定价模型,从而构建更有实际操作价值的期货无套利定价区间模型.最后通过算例分析,进一步说明备用保证金和无套利定价的具体测算方法.The path dependence of the reserve margin is the same with lookback option. This paper developed the reserve margin model according the lookback option model, and then got the number of the reserve margin with short or long position. On the other hand, the reserve margin is necessary to the practical arbitrage operation. So the new no-arbitrage bound model was built considering the reserve margin factor. At last, an example with China copper futures contract was given.

关 键 词：期货 备用保证金 回望期权 无套利 

分 类 号：F830.91[经济管理—金融学]