价格跳跃风险下CPPI策略多期收益保证价值的测算  

Valuation of CPPI-managed multiperiod rate of return guarantee with price jumps

作　　者：张飞[1,2] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]中国金融期货交易所研发部,上海200122

出　　处：《系统工程理论与实践》2014年第8期1944-1951,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71273169)

摘　　要：价格向下跳跃是引致CPPI策略收益保证缺口风险的主要因素之一,对CPPI策略收益保证价值贴近实际的测算必须考虑价格跳跃因素的影响.本文对风险资产价格服从对数正态跳跃扩散过程情形下CPPI策略多期收益保证的价值进行测算.文章给出了固定混合策略下多期收益保证价值封闭形式的测算公式.数值分析的结果表明:1)当风险资产价格服从几何布朗运动时,CPPI策略多期收益保证的价值为0,且模型参数的变动对该结论无影响;2)当风险资产价格服从对数正态跳跃扩散过程时,CPPI策略多期收益保证的价值与CPPI策略的乘数、收益保证水平以及风险资产价格的波动率正相关.Since downward jumps in asset prices play an important role in triggering gap risk of CPPI-managed rate of return guarantee, it is of crucial importance to incorporate the impact of downward jumpsin valuation of the return guarantee products, This paper investigates the valuation of （JPPI-managedmulti-period return guarantee under the condition that the active asset price follows a log-normal jumpdiffusion process. Due to the pieeewise property of the CPPI-managed portfolio, analytic results can notbe obtained and we resort to numerical methods. For illustrative purposes, valuation formulae in closedform are obtained for the constant-mix strategy. Our numerical results indicate that, under the geometricBrownian motion setting, there is no gap risk in the CPPI-managed portfolio and thus the price of CPPI-managed multi-period return guarantee is zero, and that. changes in parameters do not affect the price.When the price process of active asset is characterised by a log-normal jump process, however, the valueof CPPI-managed umlti-period return guarantee is positive and is positively correlated with the CPPImultiple, the guarantee level and the volatility of the active asset price.

关 键 词：对数正态跳跃扩散过程 CPPI策略 多期收益保证 

分 类 号：F830.59[经济管理—金融学]