投资组合保险策略收益保证的定价研究——基于有限跳跃Levy过程  

Pricing of rate of return guarantees under the management of portfolio insurance strategies: Models based on finite-activity Levy process

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：《管理科学学报》2015年第7期82-92,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71273169)

摘　　要：向下的价格跳跃会引致投资组合保险出现缺口风险,因而将价格跳跃考虑在内对收益保证类金融产品保本费用的定价研究对于为该类产品进行担保的机构具有重要的决策参考价值.文章采用有限跳跃Levy过程来刻画风险资产的价格过程,并对随机利率条件下CPPI策略与TIPP策略收益保证进行定价.文章给出了固定混合策略下收益保证的解析定价公式.数值分析的结果表明:(1)传统GBM假定下的收益保证定价会低估收益保证的价格;(2)TIPP策略收益保证的价格要低于CPPI策略;(3)CPPI策略与TIPP策略收益保证的价格与策略乘数、收益保证水平正相关,与风险资产价格的波动率无关.Downward jumps in asset prices can trigger gap risk of portfolio insurance; it is more realistic to incorporate the impact of downward jumps in pricing the rate of return guaranteed products and is of great importance to the institutions insuring the return guarantees. This study employs finite-activity Levy processes to model the price process of active asset and prices the CPPI- and TIPP-managed return guarantees. As a result of the piecewise property of the underlying portfolios,analytic results cannot be obtained. For illustrative purposes,analytical pricing formulae are obtained for the constant-mix strategy. Our numerical results suggest that,（ 1） The return guarantees are undervalued under the traditional GBM assumption;（ 2） The TIPP-managed return guarantee is less expensive than its CPPI counterpart;（ 3） The prices of the return guarantees managed both by CPPI and by TIPP are positively correlated with the multiple and the guarantee level,but independent of the volatility of the active asset price.

关 键 词：CPPI策略 TIPP策略 有限跳跃Levy过程 收益保证 缺口风险 

分 类 号：F830.59[经济管理—金融学]