期货期权的保证金模式比较研究  

The Comparison of Margin Model of Futures Option

作　　者：柳青[1] 张书军[1] 

机构地区：[1]大连商品交易所,辽宁大连116023

出　　处：《证券市场导报》2013年第8期57-64,共8页Securities Market Herald

摘　　要：以期货合约为标的期权合约是目前国际衍生品市场应用较多的工具之一。期货、期权等衍生品保证金的计算和收取方式包括基于投资组合的动态保证金制度和逐笔计算的静态保证金制度。期货期权保证金与期货保证金既有联系,又存在一定的独特性。从国际经验看,目前欧美市场多采用基于投资组合的保证金模式,而以我国为代表的新兴衍生品市场则采用逐笔计算的静态保证金制度。本文主要分析了期权合约的保证金模式,优化了期货期权保证金模型,并利用CBOT玉米期权合约的数据进行了实证研究,为我国期货期权保证金制度的设计提供参考。Futures option is one of the widely accepted derivative instruments. The margin model of futures and options includes dynamic margin model which is based on investment portfolio and static model which is calculated order by order. Comparing futures margin model with options margin model, there is not only connection, but also characteristic of each other. While most of European and American markets choose dynamic margin model, the majority of emerging derivative market choose static margin model. This study is positioned to analyze the margin model of futures option based on one single underlying asset, and optimizes margin model of futures options. At the meanwhile, we also use the date of corn futures options on CBOT to test the optimizing models, and finally the relative suggestions on the margin institutions in our futures options market are given at end of this paper.

关 键 词：期货期权 保证金模型 衍生品保证金制度 

分 类 号：F830.9[经济管理—金融学]