一类创新型封闭基金定价的数学模型及特点分析  

Pricing model and analysis of a kind of innovative closed-end funds

作　　者：任学敏[1] 刘红梅[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《上海师范大学学报（自然科学版）》2010年第6期563-571,共9页Journal of Shanghai Normal University(Natural Sciences)

基　　金：国家"973"重点基础研究发展计划项目(2007CB814903);国家自然科学基金项目(10471106;10671103)

摘　　要：在风险中性和无套利框架下对创新型指数基金"长盛同庆"的两种份额进行定价,用偏微分方程给出了"长盛同庆A"和"长盛同庆B"份额的显式定价公式,并讨论了基金的条款并且分析了各个参数对价格和杠杆率的影响.并进一步在基金有保底条款时,给出定价公式并对比价值差异.A pricing model of a kind of innovative closed-end funds with two shares are given by the no-arbitrage principle in the risk-neutral world.By the method of partial differential equations,analytical pricing formulas are obtained.Then the problem of how to set the issues of the shares and the effects of various parameters on their prices and leverage rate are discussed.Further,the analytical solutions of the shares with protection issues are presented and their difference is shown.

关 键 词：创新型封闭式基金 期权定价 杠杆率 

分 类 号：F830[经济管理—金融学] O29[理学—应用数学]