亚式期权定价估值模型风险管理的实证分析  

Empirical analysis of Asian option models from a risk management perspective

作　　者：郭宝仲 黄逸洲 成鸿飞 GUO Baozhong;HUANG Yizhou;CHENG Hongfei(Guosen Futures Co.,Ltd.,Shenzhen 518046,China)

机构地区：[1]国信期货有限责任公司,深圳518046

出　　处：《中国证券期货》2023年第1期27-34,共8页Securities & Futures of China

摘　　要：近年来我国场外衍生品业务蓬勃发展,这与期货、期权上市品种越来越多,挂钩标的资产和场内对冲工具越来越丰富密切相关,对于服务实体经济发展,给产业客户提供套期保值和价格保护工具发挥了重要作用。其中,亚式类期权在国内市场上受到关注度很高,因此本文对常见的亚式算术平均期权以数据验证的方式进行介绍,首先从赔付公式分析了结算价采用平均值对费率和希腊值线性衰减作用以及行权价调整对期权结构影响两方面的普适特征,随后介绍了场外衍生品实际业务中常用的三个模型,最后结合实际的“保险+期货”豆粕亚式看涨期权项目,根据期权要素和行情计算了费率、希腊值、调整虚实程度以及压力测试情境下的各项指标,阐述了对场外期权业务定价估值、对冲、限额管理以及流动性评估等风险管理工作的影响,以及使用所述三个模型在定价估值和对冲风险管理需要注意的特点。Recent years have witnessed the flourishing of China's OTC derivatives market,which is closely related to the increasing number of listed futures,Exchange-traded options,varieties of underlying assets and OTC hedging instruments.This has played an important role in providing hedging instruments to industrial customers and serving the real economy as well.Among OTC options,Asian-style options have received much attention in the domestic market.Therefore,this article introduces the common arithmetic average Asian options in a data-validated manner.Firstly,this article analyzes the universal features of the linear decay effect of the pricing ratio and Greeks using arithmetic average method on settlement price and the impact of the strike price adjustment on the option structure.Then,this article introduces three models commonly used in OTC practice.Finally,in order to evaluate the impact on the risk management of OTC derivatives in terms of pricing,hedging,limit management and liquidity assessment,an example of“Insurance plus Futures”(“保险+期货”)soybean meal Asian call option project is presented and the pricing ratio,Greek values,adjusted moneyness,various indicators under stress test scenarios are calculated based on the option elements and quotes.In addition,specific features of the three models in pricing and risk hedging is discussed.

关 键 词：亚式期权 算术平均 场外衍生品 “保险+期货” 风险管理 

分 类 号：F83[经济管理—金融学]