基于巴黎期权的植物品种权证券化定价研究
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摘要
植物品种权属于知识产权的范畴,是工业产权的一种类型。为了解决植物品种权证券化定价问题,以植物品种权证券化为研究对象,采用了具有巴黎期权性质的证券化产品定价模型刻画植物品种权证券化的独特性,通过数值仿真和灵敏度分析验证定价模型的合理性和有效性。研究表明,该方法具有较好可行性和适用性,可以为知识产权证券化的定价提供一种新思路。
Plant variety right belongs to the category of intellectual property right,it is a kind of industrial property right.Based on the CPVR securities as the research object,in order to solve the problem of the CPVR securitization pricing,adopted the securitized products with characteristics of Paris option pricing model depicting the uniqueness of the CPVR securitization,through numerical simulation and sensitivity analysis to verify the rationality and validity of the pricing model.The research shows that this method has good feasibility and applicability,and provides a new idea for the pricing of intellectual property securitization.
Plant variety right belongs to the category of intellectual property right,it is a kind of industrial property right.Based on the CPVR securities as the research object,in order to solve the problem of the CPVR securitization pricing,adopted the securitized products with characteristics of Paris option pricing model depicting the uniqueness of the CPVR securitization,through numerical simulation and sensitivity analysis to verify the rationality and validity of the pricing model.The research shows that this method has good feasibility and applicability,and provides a new idea for the pricing of intellectual property securitization.
引文
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[16]郭冬梅,宋斌,汪寿阳.倒向随机微分方程与巴黎期权的非线性定价[J].中国科学:数学,2013(1).
[2]蒋峰.不良资产证券化定价研究——基于效用函数凹性的价格区间模型[D].成都:西南财经大学,2009.
[3]叶文忠,杨招军,郑毅.抵押贷款证券的效用无差别定价[J].中国管理科学,2010,18(4).
[4]魏成龙,王述评.个人住房抵押贷款提前偿付率实证研究——基于建元2005资产证券化产品资产池的模型[J].经济管理,2011(4).
[5]Pan J,Singleton K J.Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads[J].The Journal of Finance,2008,63(5).
[6]丁巨涛,张岗,宋振东.基于PEST-SWOT复合矩阵的知识产权发展环境分析——以陕西省为例[J].西安财经学院学报,2017(2).
[7]施若.基于跳扩散模型的知识产权证券化定价[J].企业经济,2012(2).
[8]Myers S C,Turnbull S M.Capital Budgeting and the Capital Asset Pricing Model:Good News and Bad News[J].The Journal of Finance,1988,32(2).
[9]汤正洪,何建敏,尹群耀.保函证券化设计与定价——基于投资者视角[J].系统工程,2016(2).
[10]秦学志,胡友群,石玉山.含股权回售与赎回条款的或有可转债定价研究[J].管理科学学报,2016(7).
[11]Duffie D,Singleton K J.Modeling Term Structures of Default Able Bonds[J].Review of Financial Studies,1999,12(4).
[12]Borland L.A Theory of Non-Gaussian Option Pricing[J].Quantitative Finance,2002(6).
[13]Harisson M,Pliska S P.A Stochastic Calculus Model of Continuous Trading:Complete Markets[J].Stochastic Processes&Their Applications,1983(3).
[14]Plastino A R,Plastino A.Non-extensive Statistical Mechanics and Generalized Fokker-planck Equation[J].Physical Reveiew E,1998(1).
[15]赵攀,肖庆宪.基于Tsallis分布及跳扩散过程的欧式期权定价[J].中国管理科学,2015(6).
[16]郭冬梅,宋斌,汪寿阳.倒向随机微分方程与巴黎期权的非线性定价[J].中国科学:数学,2013(1).