中国国债期货内含选择权实证研究

发布时间：2017-12-31 17:04

本文关键词：中国国债期货内含选择权实证研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国经济发展,国债规模不断扩大,相应的避险需求也益强烈。而风险对冲所对应的衍生产品发展相对滞后。2012年我国开始尝试国债期货仿真交易,并计划正式推出国债期货产品。相对于商品期货,国债期货合约本身有其特殊的复杂性,尤其是合约本身内含的三个选择权：品种选择权,交割日选择权和万能牌规则。内含选择权的存在,导致国债期货在定价以及运用其进行风险对冲时,需要对其模型和策略有针对性地调整。本文从理论和实证角度探究了国债期货内含选择权,为国债期货交易和风险对冲提供了很好的参考。文章共分为三部分,第一部分介绍了我国国债期货的历史和现状,在与国际成熟市场比较的基础上,说明国债期货对我国国债现货市场的必要性和发展的可行性；第二部分首先讨论了国债期货内含选择权的成因,并进一步考察这些因素对期货价值的影响,然后采用两种方式对内含选择权估值;第三部分通过引入效用函数和GARCH方法,提出了一种优化的风险对冲策略。
[Abstract]:With the development of China ' s economy , the scale of national debt is constantly expanding , and the corresponding demand for hedging is very strong . In 2012 , China began to try the treasury bond futures simulation trading and plan to officially launch the treasury bond futures product . In 2012 , China started to try the treasury bond futures simulation trading and plan to officially launch the treasury bond futures product . The existence of the option rights , which led to the targeted adjustment of its model and strategy , explored the choice of the treasury bond futures in theory and demonstration , and provided a good reference for the treasury bond futures transaction and the risk hedging . The article is divided into three parts , the first part introduces the history and present situation of the treasury bond futures , on the basis of the comparison with the international mature market , it illustrates the necessity and the development feasibility of the treasury bond futures on the spot market of our national debt ;

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F812.5

【共引文献】