复杂衍生品定价是否公平——基于深南电案例的分析  

Is the Pricing of Complex Derivatives Fair——Based on the Case Study of Shennandian

作　　者：潘慧峰[1] 班乘炜[2] 

机构地区：[1]对外经济贸易大学金融学院应用金融研究中心,北京100029 [2]北京大学光华管理学院,北京100871

出　　处：《金融研究》2013年第9期97-109,共13页Journal of Financial Research

基　　金：国家自然科学基金项目(70871023);国家社会科学基金重点项目(12CJY117);国家社会科学基金项目(12CJY117);教育部人文社科项目(12YJC790001);对外经济贸易大学教师学术创新团队资助项目(CXTD2-04)的资助

摘　　要：本文以深南电与高盛签订的展期期权为例,实证分析了复杂衍生品合约定价是否公平。首先比较了几何布朗运动和OU过程的似然函数值,结果表明OU过程更适合描述油价的走势,进一步采用蒙特卡洛模拟法对展期期权进行了定价。定价结果表明:对于投资银行而言,第一份合约存在小额亏损,但第二份合约的盈利远高于第一份合约的亏损,整个展期合约是盈利的,投资银行拥有第二份合约展期的权利是其盈利的关键。本文结论暗示投资银行可以利用非专业投资者定价知识的匮乏,设计复杂衍生品并通过不公平定价来牟利,文章最后从企业的角度和监管者的角度提出了政策建议。We empirically investigate whether the complex derivatives pricing is fair or not by taking the extend- ible option contract signed by Shennandian and Goldman Sachs for example. First we compare the likelihood of geometric Brownian process and Ornstein - Uhlenbeck process and find that Ornstein - Uhlenbeck process is more suitable to describe the oil price dynamics. And the pricing of extendible option contract by Monte Carlo simulation shows investment bank is subject to a small loss in the first contract and a big gain in the second con- tract of the option, and overall the investment bank gains significantly. The right to extend the second contract is the key profit source of investment bank. Our findings imply that investment banks could take advantage of their professional knowledge to exploit the less experienced investors by designing complex derivatives and pri- cing unfairly. We then propose some policy recommendation from the angles of enterprises and market regulators based on our findings.

关 键 词：复杂衍生品 衍生品定价 OU过程 蒙特卡洛模拟 

分 类 号：F830.91[经济管理—金融学] F224