沪深300股指期权合约设计探讨
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摘要
在经济全球化的今天,金融市场飞速发展,特别是金融衍生品市场。我国逐步健全的证券市场仅有短短20余年历史,金融衍生品市场还处于起步阶段。目前,作为国际金融市场流行的金融投资和避险工具:期权,股指期权,利率期权,外汇期权等金融衍生品发挥着愈来愈重要的作用。金融衍生品的合约设计、定价、创新等课题也成为当今学术界研究的前沿课题。在我国金融市场体制改革进程中,金融创新必将为我国国民经济发展带来深远的影响。因此,有必要对其进行研究和探讨。本文重点研究适合我国金融市场发展的股指期权的合约设计。更准确地说,是对以我国即将推出的沪深300股指期货的标的指数——沪深300指数为标的指数的股指期权合约设计进行研究和探讨,即对沪深300股指期权合约设计进行探讨。
本文主体内容分为两个层次:第一个层次是沪深300股指期权的合约设计探讨;第二个层次是对沪深300股指期权合约简单用B-S公式进行举例分析得出权利金的具体的一个参考值。在绪论中首先阐述了本文的研究背景、研究意义、研究内容和结构安排,同时对股指期权的相关概念进行界定,介绍了本文的研究方法和创新点;第二章介绍和分析了当今世界上金融衍生品市场的概况,比较和借鉴国外成熟市场股指期权的研究结论,由此寻找本文研究的切入点,并提出了我国的股指期权发展的思路和看法,以及我国发展股指期权的必要性;第三章是沪深300股价指数介绍与沪深300股指期权合约设计。本章首先介绍了沪深300股价指数,而后由海外成熟市场股指期权合约的介绍引出我国股指期权发展前景分析与展望,最后通过对比分析,设计出适合我国发展的沪深300股指期权合约;第四章是沪深300股指期权合约举例分析得出权利金的具体的一个参考值。首先对Black-Scholes模型进行介绍,用其进行股指期权定价举例分析计算的理由与参数修正。而后分别对沪深300标的指数价格的确定、波动率的计算、无风险利率的确定、股指期权到期期限确定、沪深300看涨期权的执行价格的确定进行了详细的阐述和说明,并计算出了沪深300股指期权的首日开盘参考价;第五章总结了本文基本研究结论,并指出本文研究的不足与将来的研究方向。
Today, the business is global; the finance market develops quickly, especially the finance derivative. Our securities market has being developed twenty years ago, and the finance derivative market was just born in our country. Presently, they are the popular tools of the finance investment in the international finance market, and have a lot of important functions. For example stock option, stock index option, rate option, foreign exchange option.
Currently, the designing contract, the option of the pricing and the finance innovation of the subject are very up to date. The finance innovation must promote to increase quickly the gross domestic product for our country, so we need necessarily research them. The contents of the thesis are the designing contract, the option of the pricing about hushen’s 300 stock index options for our country.
There are two parts in the content of the thesis. First, to design the contract of the hushen’s 300 stock index options; Second, to price the contract of the hushen’s 300 stock index options. In the preface, to introduce the researching background, the researching meaning, the researching content and the arrangement of the framework. In the same time, the concept of the stock index option is defined, and so on. The second chapter introduces and analyses the environment of the finance derivate market to look for our methods about developing stock index option. The third chapter introduces the hushen’s 300 index, and hushen’s 300 stock index option contracts are designed. The fourth chapter is about the pricing of the hushen’s 300 stock index options. The final chapter summarizes the researching conclusion about the thesis.
本文主体内容分为两个层次:第一个层次是沪深300股指期权的合约设计探讨;第二个层次是对沪深300股指期权合约简单用B-S公式进行举例分析得出权利金的具体的一个参考值。在绪论中首先阐述了本文的研究背景、研究意义、研究内容和结构安排,同时对股指期权的相关概念进行界定,介绍了本文的研究方法和创新点;第二章介绍和分析了当今世界上金融衍生品市场的概况,比较和借鉴国外成熟市场股指期权的研究结论,由此寻找本文研究的切入点,并提出了我国的股指期权发展的思路和看法,以及我国发展股指期权的必要性;第三章是沪深300股价指数介绍与沪深300股指期权合约设计。本章首先介绍了沪深300股价指数,而后由海外成熟市场股指期权合约的介绍引出我国股指期权发展前景分析与展望,最后通过对比分析,设计出适合我国发展的沪深300股指期权合约;第四章是沪深300股指期权合约举例分析得出权利金的具体的一个参考值。首先对Black-Scholes模型进行介绍,用其进行股指期权定价举例分析计算的理由与参数修正。而后分别对沪深300标的指数价格的确定、波动率的计算、无风险利率的确定、股指期权到期期限确定、沪深300看涨期权的执行价格的确定进行了详细的阐述和说明,并计算出了沪深300股指期权的首日开盘参考价;第五章总结了本文基本研究结论,并指出本文研究的不足与将来的研究方向。
Today, the business is global; the finance market develops quickly, especially the finance derivative. Our securities market has being developed twenty years ago, and the finance derivative market was just born in our country. Presently, they are the popular tools of the finance investment in the international finance market, and have a lot of important functions. For example stock option, stock index option, rate option, foreign exchange option.
Currently, the designing contract, the option of the pricing and the finance innovation of the subject are very up to date. The finance innovation must promote to increase quickly the gross domestic product for our country, so we need necessarily research them. The contents of the thesis are the designing contract, the option of the pricing about hushen’s 300 stock index options for our country.
There are two parts in the content of the thesis. First, to design the contract of the hushen’s 300 stock index options; Second, to price the contract of the hushen’s 300 stock index options. In the preface, to introduce the researching background, the researching meaning, the researching content and the arrangement of the framework. In the same time, the concept of the stock index option is defined, and so on. The second chapter introduces and analyses the environment of the finance derivate market to look for our methods about developing stock index option. The third chapter introduces the hushen’s 300 index, and hushen’s 300 stock index option contracts are designed. The fourth chapter is about the pricing of the hushen’s 300 stock index options. The final chapter summarizes the researching conclusion about the thesis.
引文
[1] BLACK F,SCHOLES M. The Pricing of Option and Corpo-rate Liabilities .Journal of Political Economy, 1978
[2] Yeutien Chou,“Volatility Persistence and Stock Valuations:Some Empirical EvidenceUsing GARCH”,Journal of Applied Econometrics,Vol 3,Issue 4,1998.
[3] MERTON R C. Theory of Rational Option Pricing .BellJournal of Financial and Management Science. 1973
[4] CHRIS VELD,Warrant pricing:a review of empirical research,The European Journal of Finance,2003.9
[5] Noreern,E.and M.Wolfson.“Equilibrium Warrant Pricing Model and Accounting for Executive Stock Options”.Journal of Accounting Research(Autumn 1981)
[6] Andrey D.Ukhov,WARRANT PRICING USING OBSERVABLE VARIABLES,The Journal of Financial Research,2004
[7]于延超股指期权合约设计与运作模式.中国财政经济出版社2007年版43-72
[8]于延超我国发展股票指数期权问题研究.深圳证券交易所综合研究所2005年研究报告
[9]吴冲锋金融工程学高等教育出版社, 2005年版197-224
[10]尹宏,胡红霞,期权投资实用指南,经济管理出版社,2006
[11]John C.Hull,期权、期货和其它衍生产品,第三版,华夏出版社,2000
[12]约翰·赫尔著,张陶伟等译:《期权、期货衍生证券》,华夏出版社,1997年版。
[13]宋劭杰等:《期权理论与套利策略》广东经济出版社2005年
[14]张雪莹等:《金融计量学教程》上海财经大学出版社2005年第一版
[15]宋劭杰,曾祥文,期权理论与套利策略,广东经济出版社,2005
[16]孙敬水,马淑琴,计量经济学,清华大学出版社,2004.9
[17]吴建环,赵君丽,谈期权分类及定价问题,财会月刊,2006.12
[18]黄宇宏,张宗成,我国期权定价过高的原因分析,技术经济与管理研究,2007.1
[19]陈明亮,修正Black-Scholes期权定价理论假设条件的数值方法研究,统计与决策,2006.1
[20]王志诚,何树红,期权的定价因素,华东经济管理,2002.6
[21]美国期货业协会网站
[22](合约条款)中国金融期货交易所网站http://www.cffex.com.cn
[23](合约条款)香港联合交易所网站http://www.hkex.com.hk
[24](合约条款)芝加哥商品期货交易所网站http://www.cboe.com
[25](合约条款)欧洲期货交易所网站http://www.eurexchange.com
[2] Yeutien Chou,“Volatility Persistence and Stock Valuations:Some Empirical EvidenceUsing GARCH”,Journal of Applied Econometrics,Vol 3,Issue 4,1998.
[3] MERTON R C. Theory of Rational Option Pricing .BellJournal of Financial and Management Science. 1973
[4] CHRIS VELD,Warrant pricing:a review of empirical research,The European Journal of Finance,2003.9
[5] Noreern,E.and M.Wolfson.“Equilibrium Warrant Pricing Model and Accounting for Executive Stock Options”.Journal of Accounting Research(Autumn 1981)
[6] Andrey D.Ukhov,WARRANT PRICING USING OBSERVABLE VARIABLES,The Journal of Financial Research,2004
[7]于延超股指期权合约设计与运作模式.中国财政经济出版社2007年版43-72
[8]于延超我国发展股票指数期权问题研究.深圳证券交易所综合研究所2005年研究报告
[9]吴冲锋金融工程学高等教育出版社, 2005年版197-224
[10]尹宏,胡红霞,期权投资实用指南,经济管理出版社,2006
[11]John C.Hull,期权、期货和其它衍生产品,第三版,华夏出版社,2000
[12]约翰·赫尔著,张陶伟等译:《期权、期货衍生证券》,华夏出版社,1997年版。
[13]宋劭杰等:《期权理论与套利策略》广东经济出版社2005年
[14]张雪莹等:《金融计量学教程》上海财经大学出版社2005年第一版
[15]宋劭杰,曾祥文,期权理论与套利策略,广东经济出版社,2005
[16]孙敬水,马淑琴,计量经济学,清华大学出版社,2004.9
[17]吴建环,赵君丽,谈期权分类及定价问题,财会月刊,2006.12
[18]黄宇宏,张宗成,我国期权定价过高的原因分析,技术经济与管理研究,2007.1
[19]陈明亮,修正Black-Scholes期权定价理论假设条件的数值方法研究,统计与决策,2006.1
[20]王志诚,何树红,期权的定价因素,华东经济管理,2002.6
[21]美国期货业协会网站
[22](合约条款)中国金融期货交易所网站http://www.cffex.com.cn
[23](合约条款)香港联合交易所网站http://www.hkex.com.hk
[24](合约条款)芝加哥商品期货交易所网站http://www.cboe.com
[25](合约条款)欧洲期货交易所网站http://www.eurexchange.com