我国分级基金的发展与估值分析

发布时间：2018-02-28 22:24

本文关键词： 分级基金估值定价 Black-Scholes模型蒙特卡洛模拟　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：杠杆型基金首先出现于海外市场,直到2007年,国内的基金市场才首次出现了这一产品,填补了国内市场在这一领域上的空白。在最近的几年时间里,分级基金产品进入了高速发展的时期,国内的各大基金管理公司,以及一些资产管理公司都对分级基金这一结构化产品进行不断的升级创新,不断创造出具有自身特点的基金产品。这样发展的势头使我们可以预见到,分级基金将会成为未来国内场内基金的主要形式。但是又因为国内市场的分级基金产品的发展较晚,所以真正革命性的产品还没有出现,大多的分级基金产品还是借鉴国外已有的产品模式,这就使得对国外类似分级基金金融资产进行分析十分必要。同时,如何对分级基金定价也是困扰投资者的问题,对不同分级基金的分级模式都不一样,但对其定价的基本理论方法却有共通之处本文首先通过对国内外分级基金发展的梳理,对这一杠杆型基金的作用以及特点进行总结。同时利用经典的Black-Scholes模型以及蒙特卡洛模拟对国内的分级基金进行估值分析。
[Abstract]:Leveraged funds first emerged in overseas markets, and it was not until 2007 that the domestic fund market first appeared, filling the gap in the domestic market. The graded fund products have entered a period of rapid development. The major fund management companies in China, as well as some asset management companies, have been constantly upgrading and innovating the structured products of graded funds. We can foresee that the graded fund will become the main form of the domestic fund in the future. However, because of the late development of the graded fund products in the domestic market, So the real revolutionary products have not yet appeared, most of the graded fund products still draw lessons from the existing product models of foreign countries, which makes it very necessary to analyze the financial assets of similar classified funds abroad. At the same time, How to price the graded funds is also a puzzling problem for investors. The classification models of different graded funds are different, but the basic theory and methods of pricing have something in common. Firstly, this paper summarizes the function and characteristics of the leveraged fund by combing the development of the domestic and foreign classified funds. At the same time, the classical Black-Scholes model and Monte Carlo simulation are used to evaluate the domestic graded funds.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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