中国分级基金定价方法研究

发布时间：2018-06-22 12:51

本文选题：分级基金 + 理论价值　；参考：《复旦大学》2014年硕士论文

【摘要】：分级基金是基金市场上的一类产品,是将投资组合的未来风险和收益进行人为划分形成的基金品种。分级基金最大的特征是将某一基金产品分为几类份额,这几类份额的未来收益是不同的。作为基金市场上重要的创新型产品,分级基金在我国出现的时间不长,因而在分级基金的定价方面尚未形成统一的定价方法。为了研究中国分级基金的定价方法,本文在现有国内外文献的基础上,首先,梳理了现有的96只分级基金产品,总结归纳了分级基金市场上各类产品的发行情况、规模、分类及设计特点。随后,本文以分级基金收益及风险分配的期权特性作为切入点,引入并根据分级基金的特点改进了三种使用较为广泛的期权定价方法——B-S定价模型、蒙特卡洛定价方法及二叉树定价模型。在此基础上,本文使用这三种不同的定价方法计算了金鹰中证500指数分级证券投资基金、万家添利分级债券型证券投资基金和富国天盈分级债券型证券投资基金的理论价值：使用B-S定价模型时,先对分级基金的A类份额和B类份额进行期权分解,得到各类份额的组成期权,使用B-S模型计算组成期权的理论价值,从而得到分级基金各类份额的理论价值；使用蒙特卡洛方法时,先蒙特卡洛模拟出分级基金母基金份额的净值的完整路径,计算出A类份额的理论价值,然后根据三类基金份额净值的关系得出B类份额的理论价值；使用二叉树定价模型时,先计算组成期权的理论价值,从而得到分级基金各类份额的理论价值。最后,本文对这三只分级基金的实际价格和使用三种定价方法计算所得的理论价值进行了描述性分析和回归分析,从分级基金的角度对这三种定价方法进一步的研究。通过研究,本文得到以下结论：期权定价方法可以在较大程度上对分级基金进行定价；蒙特卡洛方法下股票型分级基金B类份额净值的定价效果不佳、分级基金净值的折溢价较小且折溢价趋于扩大、当模拟次数达到一定数量之后模拟次数的增加并不会对定价产生明显影响；B-S模型和二叉树模型定价结果较为接近,且在使用B-S模型和二叉树模型对分级基金进行定价时,分级基金两类份额的折溢价趋于缩小。本文通过引入期权定价方法对中国分级基金进行定价,探讨了中国分级基金的定价方法。
[Abstract]:The graded fund is a kind of product in the fund market. It is a kind of fund that divides the future risk and income of the investment portfolio artificially. The biggest characteristic of a graded fund is that the product is divided into several kinds of shares, and the future returns of these kinds of shares are different. As an important innovative product in the fund market, graded funds have not appeared for a long time in China, so there has not been a unified pricing method in the pricing of graded funds. In order to study the pricing methods of Chinese graded funds, this paper, based on the existing domestic and foreign literature, first of all, combs the existing 96 graded fund products, summarizes the distribution situation and scale of all kinds of products in the graded fund market. Classification and design features. Then, this paper introduces and improves three widely used option pricing methods, B-S pricing model, based on the option characteristics of the income and risk allocation of graded funds. Monte Carlo pricing method and binary Tree pricing Model. On this basis, this paper uses these three different pricing methods to calculate the securities investment funds classified by the 500 index of Jinying. The theoretical value of ten thousand graded bond investment funds and Tianying bond investment funds: when using the B-S pricing model, the class A and B shares of the graded funds are decomposed by options. The theoretical value of the component option is calculated by B-S model, and the theoretical value of each kind of share of the graded fund is obtained by means of the Monte Carlo method, and the theoretical value of the component option is obtained by using the B-S model. First, Monte Carlo simulates the complete path of the net value of the share of the parent fund, calculates the theoretical value of the class A share, and then, according to the relationship between the net share of the three funds, the theoretical value of the category B share; when using the binomial tree pricing model, The theoretical value of component option is calculated first, and the theoretical value of all kinds of shares of graded funds is obtained. Finally, this paper makes descriptive analysis and regression analysis on the actual price of the three classified funds and the theoretical value calculated by using the three pricing methods, and further studies the three pricing methods from the perspective of the graded funds. Through the research, this paper draws the following conclusions: the option pricing method can price the classified funds to a large extent, and the pricing effect of category B net shares of the stock classification funds is not good under the Monte Carlo method. The discount premium of net value of graded funds is smaller and the discount premium tends to expand. When the number of simulations reaches a certain number, the increase of simulation times will not have a significant impact on pricing. The pricing results of B-S model and binary tree model are close to each other. When using B-S model and binary tree model to price the graded fund, the discount premium of the two kinds of shares tends to decrease. This paper discusses the pricing method of Chinese graded funds by introducing the option pricing method.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224

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