股市平准基金的交易模式及定价模型  

Exchange Mode and Pricing Model of Security Market Stabilization Fund

作　　者：吴斌[1] 龙泉[1] 

机构地区：[1]上海电机学院商学院,上海200245

出　　处：《上海电机学院学报》2010年第5期299-302,共4页Journal of Shanghai Dianji University

基　　金：上海市科学技术委员会自然科学基金项目(10ZR1412300);上海市教育委员会科研创新基金项目(09YS487)

摘　　要：平准基金是一种障碍期权形式。基于平准基金的交易机制,运用障碍期权观点和二叉树理论,讨论股市平准基金作为下降敲入买权的交易发生条件,以及平准基金的定价模型,比较了平准基金与一般期权的定价,为股市平准基金的入市选择和定价提供参考。Security market stabilization fund is a type of barrier option.Based on the trade principle of stabilization fund,trade probability of stabilization fund is discussed,a binomial pricing model of discrete down-and-in call is studied,and a priced model is given.Comparison between barrier option pricing and normal option pricing models is made.A reference theoretical model is proposed for decision making of funding and pricing stabilization fund.

关 键 词：股市平准基金 障碍期权 二项定价模型 下降敲入认购期权 

分 类 号：F830.91[经济管理—金融学]