基于量子场论的股票挂钩型结构性产品的定价研究  

Pricing of Stock Linked Structured Products Based on Quantum Field Theory

作　　者：冯玲 崔静 邓梦丹 FENG Ling;CUI Jing;DENG Mengdan(School of Economics and Management,Fuzhou University,Fuzhou 350108)

机构地区：[1]福州大学经济与管理学院,福州350108

出　　处：《系统科学与数学》2020年第5期827-843,共17页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金项目(71573043);福建省社科重大项目(FJ2018Z002)资助课题。

摘　　要：文章借助量子金融的方法,运用远期利率的量子场论模型求出贴现因子,从而构建了量子场论下的股票挂钩型结构性产品的定价模型,并选择样本产品进行实证研究.研究发现,远期利率的量子场论模型考虑了远期利率在日历时间和到期时间两个维度上的相关性,对市场数据的拟合优度远高于传统的HJM模型;基于量子场论的股票挂钩型结构性产品的定价模型可用于计算理财产品的理论价值,从而为产品发行方及投资者的决策提供依据.In this paper,by means of quantum finance,the discount factor is obtained by using the quantum field theory model of forward interest rate,and then the pricing model of stock linked structured products under the quantum field theory is constructed.Furthermore,we select sample product to make empirical study.It is found that the quantum field theory model of the forward interest rate takes into account the correlation between the forward interest rate with different maturities,and its fitting accuracy of market data is much higher than the traditional HJM model.The pricing model of stock linked structured products under the quantum field theory can be used to calculate the theoretical value of stock-linked structured products,so as to provide the method of value judgment for the issuer of the products and the investors.

关 键 词：量子金融 股票挂钩型结构性产品 量子场论下的远期利率模型 

分 类 号：F832.51[经济管理—金融学] F224