| 本金无风险的外汇结构性存款的期权特征及其定价 |
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| 引用本文： | 彭莉戈.本金无风险的外汇结构性存款的期权特征及其定价[J].统计与信息论坛,2006,21(4):53-56. |
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| 作者姓名： | 彭莉戈 |
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| 作者单位： | 西安财经学院,经济学院,陕西,西安,710061 |
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| 摘 要： | 文章首先提出了外汇结构性产品的概念和分类,分析了本金无风险的外汇结构性存款的期权特征及其收益的不确定性。接着用二叉树定价法对其定价,最后探讨了相应的投资风险。认为本金无风险的外汇结构性存款有其投资价值,但由于其价值与标的资产挂钩,因此也存在着一定的投资风险。
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| 关 键 词： | 外汇结构性存款 期权 二叉树 投资风险 |
| 文章编号： | 1007-3116(2006)04-0053-04 |
| 修稿时间： | 2006年4月27日 |
Option Characteristic and Pricing Method for No Capital Risk Structured Deposits of Foreign Currency |
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| PENG Li-ge.Option Characteristic and Pricing Method for No Capital Risk Structured Deposits of Foreign Currency[J].Statistics & Information Tribune,2006,21(4):53-56. |
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| Authors: | PENG Li-ge |
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| Abstract: | The conception and the types of structured deposits of foreign currency are bringing forward at first.The option features and the profits of the deposits un-certain is analyzed.Then structured deposits of(foreign) currency are priced by the two fork trees methods.Finally the corresponding investment risk of(structured) deposits of foreign currency is discussed.Draws the conclusion that the Structured Deposits of Foreign Currency with no capital risks has its investment value,but as a result of its value and sign property suspension hook,therefore also has certain investment risk. |
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| Keywords: | structured deposits of foreign currency options two fork tree investment risk |
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