人民币对外汇期权的价格研究

发布时间：2018-02-12 04:41

本文关键词： 人民币对外汇期权汇率制度 Black—Scholes 外汇期权定价公式分形布朗运动风险 VaR　出处：《南京航空航天大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着世界经济的全球化发展，外汇及其衍生产品的出现及其定价问题在现代金融理论中越来越受到关注。尤其是中国正式加入WTO后，，中国金融市场将进一步放开，一切金融活动都必须按照国际市场规则来进行，但我国金融市场的参与者对金融衍生产品的市场风险管理经验比较匮乏，抵御金融风险的能力较差。2005年7月汇率制度改革以来，我国实行浮动汇率制度，人民币对外汇汇率不再单一盯住美元，而是变成了以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。这样的汇率制度在一定程度上扩大了人民币汇率的波动幅度，在这样的外汇市场环境下，经济活动的主体需要适当的金融工具来规避汇率波动的价格风险。外汇期权是一种基于外汇资产买卖的选择权，在金融市场上占据着一定地位，投资者可以通过这种金融衍生产品的交易规避汇率风险并获得一定收益。外汇期权产生于西方国家，在其作为一种正式投资产品进入我国市场之前，我国的学者对它的研究一般都集中在其规避风险的功能以及定价方式上，而从目前形势看，在这方面的深入研究显得尤为必要。本文在以前研究的基础上，主要对人民币对外汇期权的价格的两部分：定价和价格波动风险进行分析。在定价研究方面主要介绍并应用了外汇期权定价的传统方法Black—Scholes外汇期权定价公式和经过改进的更加符合金融市场发展状况的分形布朗运动下的欧式外汇期权定价这两种定价方法，并对其进行比较分析，得出比较适合我国金融市场状况的计算方式；在价格波动风险研究方面使用了人民币对外汇期权价格的VaR方法来进行计算，量化外汇期权的价格波动风险。
[Abstract]:With the globalization of the world economy, the emergence and pricing of foreign exchange and its derivatives have attracted more and more attention in modern financial theory. Especially after China's entry into WTO, China's financial market will be further liberalized. All financial activities must be carried out in accordance with the rules of the international market. However, the participants in the financial market in our country lack experience in market risk management of financial derivatives and have a poor ability to resist financial risks. Since the reform of the exchange rate regime in July 2005, China has implemented a floating exchange rate system. Instead of pegging the exchange rate to the US dollar, the RMB has become a reference to a basket of currencies based on the supply and demand of the market. A managed floating exchange rate regime. Such an exchange rate regime to a certain extent expands the volatility of the RMB exchange rate. In such a foreign exchange market environment, The main body of economic activities needs appropriate financial instruments to avoid the price risk of exchange rate fluctuations. Foreign exchange option is a kind of option based on foreign exchange asset trading, which occupies a certain position in the financial market. Investors can avoid the exchange rate risk and gain a certain profit through the trading of the financial derivatives. Foreign exchange option originated in western countries. Before its entry into our market as a formal investment product, Chinese scholars generally focus on its risk avoidance function and pricing method, and from the current situation, In this respect, it is particularly necessary to study in depth. This paper mainly analyzes the two parts of the price of RMB to foreign exchange option: pricing and price fluctuation risk. In the aspect of pricing research, this paper mainly introduces and applies the traditional method of foreign exchange option pricing, Black-Scholes foreign exchange option pricing formula and the pricing formula of foreign exchange option. The two pricing methods of European foreign exchange options under the Fractal Brownian Movement, which is more in line with the development of financial markets, have been improved. Through the comparison and analysis, we get the calculation method which is more suitable for the situation of our country's financial market, and use the VaR method to calculate the price of RMB to foreign exchange option in the research of price fluctuation risk. Quantify the price volatility risk of foreign exchange options.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F224

【共引文献】