人民币指数美式期货期权定价研究

作为发展人民币外汇衍生产品的理论准备,建立人民币指数美式期货期权的定价模型,提出了基于二次逼近的求解方法;进而应用该模型考察了人民币指数美式期货期权理论价值的变化,发现当期权处于实值状态时,提前执行的溢价对于期权定价有显著影响.实验结果表明,该定价模型能够刻画人民币指数美式期货期权提前执行的特征,并且能够反映人民币指数期货期权的定价参数对于期权价格的影响,可以为交易策略和企业相关公允价值的计算提供技术支持.

Study on pricing of Chinese Yuan index American futures options

Laying the theoretical foundation for the development of the Renminbi foreign exchange derivatives,this paper constructs the pricing model of Chinese Yuan Index American futures options,which is based on the numerical procedure called quadratic approximation.We apply the model to analyze the variety of the theoretical value of Chinese Yuan Index futures options,finding that when the options are in the money,the early exercise premium has a significant impact on the price of the options.Experimental results ...