离散交易框架下TIPP策略收益保证的定价研究
发布时间：2018-10-08 21:40
【摘要】：TIPP策略是收益保证类金融产品所采用的主要交易策略之一。文章分别采用几何布朗运动与有限跳跃Levy过程来刻画风险资产的价格过程,并对离散交易框架下的TIPP策略收益保证进行定价。由于TIPP策略下投资组合市值过程的复杂性,文章无法得到收益保证的解析定价公式。文章给出了离散交易框架下TIPP策略的一个特例下的封闭定价公式。数值分析的结果表明:离散交易条件下,(1)无论是否存在价格跳跃及借款限制,TIPP策略收益保证均存在缺口风险,收益保证的价格大于0;(2)与传统连续价格路径情形相比,价格跳跃条件下TIPP策略收益保证价格更高;(3)TIPP策略收益保证的价格与策略乘数、收益保证水平、杠杆比率以及调整周期正相关,与价值底线百分比负相关;(4)借款限制会降低TIPP策略收益保证的价格,且该效应随着策略乘数、收益保证水平、杠杆比率以及调整周期的增加而增强,随着价值底线百分比的上升而减弱。
[Abstract]:TIPP strategy is one of the main trading strategies used in income guarantee financial products. In this paper, the geometric Brownian motion and the finite jump Levy process are used to describe the price process of risky assets, and the TIPP policy return guarantee under the framework of discrete transaction is priced. Because of the complexity of portfolio market value process under TIPP strategy, this paper can not obtain the analytic pricing formula of income guarantee. In this paper, the closed pricing formula for a special case of TIPP strategy in the framework of discrete transaction is given. The results of numerical analysis show that: (1) whether or not there is price jump or not, there is gap risk in revenue guarantee of TIPP strategy, and the price of revenue guarantee is greater than 0; (2) compared with the traditional continuous price path, Under the condition of price jump, the guaranteed price of TIPP policy income is higher. (3) the price of TIPP policy income guarantee is positively correlated with the policy multiplier, the level of income guarantee, the leverage ratio and the adjustment period. (4) borrowing restriction will reduce the price of TIPP policy income guarantee, and the effect will increase with the increase of policy multiplier, income guarantee level, leverage ratio and adjustment cycle. As the value bottom line percentage rises, it weakens.
【作者单位】： 上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(71273169)
【分类号】：F830.9;F224
，
本文编号：2258357
[Abstract]:TIPP strategy is one of the main trading strategies used in income guarantee financial products. In this paper, the geometric Brownian motion and the finite jump Levy process are used to describe the price process of risky assets, and the TIPP policy return guarantee under the framework of discrete transaction is priced. Because of the complexity of portfolio market value process under TIPP strategy, this paper can not obtain the analytic pricing formula of income guarantee. In this paper, the closed pricing formula for a special case of TIPP strategy in the framework of discrete transaction is given. The results of numerical analysis show that: (1) whether or not there is price jump or not, there is gap risk in revenue guarantee of TIPP strategy, and the price of revenue guarantee is greater than 0; (2) compared with the traditional continuous price path, Under the condition of price jump, the guaranteed price of TIPP policy income is higher. (3) the price of TIPP policy income guarantee is positively correlated with the policy multiplier, the level of income guarantee, the leverage ratio and the adjustment period. (4) borrowing restriction will reduce the price of TIPP policy income guarantee, and the effect will increase with the increase of policy multiplier, income guarantee level, leverage ratio and adjustment cycle. As the value bottom line percentage rises, it weakens.
【作者单位】： 上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(71273169)
【分类号】：F830.9;F224
，
本文编号：2258357
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