"保险性质"期权定价模型及其应用研究

针对传统期权风险大的特点,以欧式看涨期权为基础提出一种风险小、价格低的特殊期权———"资产保险性质"期权,即期权买者出于对标的资产的保险目的,签订期权合约后,若标的资产价格上涨,期权买者将其一部分收益支付给期权卖者,以这种交易方式对传统期权产品进行改进并重新定价,从而得出"保险性质"期权及其定价公式。针对和传统期权的价格变动状况,用Excel进行了模拟比较,证明了"保险性质"期权价格低(吸引期权买者)、风险小(利于期权卖者的风险控制)的特点。"保险性质"期权产品的开发将对我国各类金融市场的建设具有现实意义。

Study on Pricing Model of Options with Properties of Insurance and Its Application

As to traditional options with high risks,this essay based on European call options,presents the options with properties of insurance.This kind of options allow that the buyers of the options for the sake of insuring their assets make an agreement with the sellers of the options before buying the options.The agreement is that when the price of the assets becomes higher than exercise price,the buyer will return a part of the difference between the market price and exercise price of the options to the sellers.In this case,we will price the options with properties of insurance,and deduce the pricing formula over it.We illustrated that its price would be lower than the traditional options.We also simulated the process under Excel environment.The options with properties of insurance will generate positive effect to the derivatives market in our country later.