风险对冲下的奇异期权公允价值评估  

Fair Value Evaluation of Exotic Options under Risk Hedging

作　　者：张懿 李晶雨 彭丽 王华桢 周玉洁 杨彬 谢晓丹 Zhang Yi;Li Jingyu;Peng Li;Wang Huazhen;Zhou Yujie;Yang Bin;Xie Xiaodan

机构地区：[1]北京中同华资产评估有限公司,北京100021 [2]北京交通大学经济管理学院,北京100044

出　　处：《中国资产评估》2023年第9期61-70,共10页Appraisal Journal of China

摘　　要：C公司收购海外上市公司NC公司的全资子公司S公司50%股份。双方签订关于S公司的并购协议,协议中包含为对冲投资风险等目的设定的回售和回购条款。本案例要求对该合同条款形成的权益于2022年12月31日的公允价值进行评估,由于期权形式、期权参数均为非标准模式,标的资产为以风险对冲为目的的奇异期权。案例采用Python编程语言对奇异期权进行二叉树建模并估值。此类项目的评估经验较少,从确定评估对象、评估方法到实施评估测算需要反复推导。本案例在奇异期权公允价值评估业务方面具有一定的代表性和前沿性。Company C acquires 50%of the shares of Company S,a wholly-owned subsidiary of NC Company,an overseas listed company.The parties entered into an M&A agreement with respect to Company S,which included resale and repurchase clauses for the purpose of hedging investment risks.This case requires an evaluation of the fair value of the equity formed by the terms of the contract as at December 31,2022.Due to the non-standard form and parameters of the option,the underlying asset is an exotic option for risk hedging purposes.The case uses the Python programming language to model and value binary trees of exotic option.This type of project has limited experience in evaluation,and it requires repeated derivation from determining the evaluation object,evaluation methods,to implementing evaluation calculations.This case is representative and advanced in the fair value evaluation of exotic options.

关 键 词：奇异期权 二叉树模型 PYTHON 

分 类 号：F275[经济管理—企业管理]