广义虚拟经济视角下的居民部门资产负债分析  

Index Futures Trading Risk Management based on Index Options

作　　者：王超 任若恩[1] 郑海涛[1] Wang Chao;Ren Ruoen;Zheng Haitao(School of Economics and Management,Beijing University of Aeronautics and Astronautics,Beijing 100191,China)

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《广义虚拟经济研究》2018年第2期70-76,共7页Research on the Generalized Virtual Economy

基　　金：广义虚拟经济专项资助项目[项目编号:GX2014-1007(M)];国家自然科学基金重点项目(基金号71333014)

摘　　要："财富标志"是广义虚拟经济的重要概念之一,财富标志主要体现为居民的房地产资产和金融资产。本研究将居民部门分为房地产和金融投资两部分来研究,在负债无界且随机的框架下使用Levy分布研究居民部门金融投资可能对金融部门所造成的风险。在此基础上,以WTI原油和Brent原油的价差套利为例,计算了居民部门投资金融资产需要的现金储备和经纪商看跌期权的价值。研究结果表明,通常期货公司对套利的投资者收取的保证金水平已基本可以覆盖较大的风险事件,但对投资者来说仍应该留有一定的现金储备来控制风险,投资者免费持有的经纪商看跌期权的价值并不大。Wealth identification is one of the important concepts in generalized virtual economy. It reflects as household＇s financial assets and real estate assets. And we divide the household sector into two sections,real estate and financial assets. Under the framework of unbounded and random liabilities, use the Levy distribution to analysis the risk of financial risks of the investment in the household sector. Take the spread between Brent oil and WTI oil as the example, we calculate the cash reserve of investors and the value of put options for the brokers. The results show that the margin level requested by futures company for arbitrage investors has basically covered some big risk events, but the investors should still hold a certain amount of cash reserves to control the risk. The value of a broker put option held by investors is not large.

关 键 词：广义虚拟经济 资产负债表 居民部门 期权定价 现金储备 

分 类 号：F832[经济管理—金融学]