结构化金融产品中的障碍期权定价  

Barrier Option Pricing in Structured Financial Products

作　　者：李冰清 张天齐 Li Bingqing;Zhang Tianqi

机构地区：[1]西南财经大学保险学院,四川成都611130 [2]南开大学金融学院,天津300350

出　　处：《南开学报（哲学社会科学版）》2021年第6期42-52,共11页Nankai Journal:Philosophy,Literature and Social Science Edition

基　　金：国家自然科学基金面上项目(71671094);中央高校基本科研业务费专项资金资助项目(63185019,63172308)。

摘　　要：作为一种嵌入障碍期权的金融产品,"鲨鱼鳍"浮动收益凭证不断增加的市场需求对障碍期权提出了更多要求,因此我们研究了马尔科夫体制转换(MRS)模型下障碍期权的定价。MRS模型因能有效捕获资产价格尖峰、厚尾、有偏等特征而得到学界和业界广泛关注,但随机波动率使得在该模型下的障碍期权定价变得更加复杂,限制了模型的应用。通过将经典定价方法中无法计算的多重积分降低为可计算的单重积分,并计算了关键随机变量的概率分布函数,障碍期权上下界可由标准正态累积分布函数表示。数值实验确认了障碍期权上下界的紧性和有效性,同时应用MRS模型到沪深300指数,障碍期权能降低投资组合成本,从而能更灵活地调整组合收益,它与A股市场行情也呈同向变化关系。As a financial product embedded by barrier options, the increasing demand in equity-linked income notes has raised more requests for barrier options. Therefore, this paper investigates the barrier option pricing under the Markov Regime Switching(MRS) model. Due to the effectiveness of capturing leptokurtic, skewness, volatility clustering,and mean-reversion of volatility, the proposed model has attracted widespread scholarly and practical attention. However, the stochastic volatility in the proposed model makes barrier option pricing more challenging, which further limits the application in practice. Through reducing the intractable multiple integral in traditional pricing methods to the tractable single integral and providing the way of obtaining the related probability distribution function, upper and lower bounds are expressed by using the cumulative distribution function of standard normal random variables. A range of numerical implementations confirm the tightness and efficiency of bounds, meanwhile by applying the MRS model to the CSI 300 index, the feature of barrier options, as well as the relationship between barrier options and market A shares, are analyzed.

关 键 词：障碍期权 随机波动率 体制转换 收益凭证 

分 类 号：F832.5[经济管理—金融学] F224F832.51