本文關(guān)鍵詞： 分級(jí)基金 估值定價(jià) Black-Scholes模型 蒙特卡洛模擬　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：杠桿型基金首先出現(xiàn)于海外市場(chǎng),直到2007年,國(guó)內(nèi)的基金市場(chǎng)才首次出現(xiàn)了這一產(chǎn)品,填補(bǔ)了國(guó)內(nèi)市場(chǎng)在這一領(lǐng)域上的空白。在最近的幾年時(shí)間里,分級(jí)基金產(chǎn)品進(jìn)入了高速發(fā)展的時(shí)期,國(guó)內(nèi)的各大基金管理公司,以及一些資產(chǎn)管理公司都對(duì)分級(jí)基金這一結(jié)構(gòu)化產(chǎn)品進(jìn)行不斷的升級(jí)創(chuàng)新,不斷創(chuàng)造出具有自身特點(diǎn)的基金產(chǎn)品。這樣發(fā)展的勢(shì)頭使我們可以預(yù)見到,分級(jí)基金將會(huì)成為未來國(guó)內(nèi)場(chǎng)內(nèi)基金的主要形式。但是又因?yàn)閲?guó)內(nèi)市場(chǎng)的分級(jí)基金產(chǎn)品的發(fā)展較晚,所以真正革命性的產(chǎn)品還沒有出現(xiàn),大多的分級(jí)基金產(chǎn)品還是借鑒國(guó)外已有的產(chǎn)品模式,這就使得對(duì)國(guó)外類似分級(jí)基金金融資產(chǎn)進(jìn)行分析十分必要。同時(shí),如何對(duì)分級(jí)基金定價(jià)也是困擾投資者的問題,對(duì)不同分級(jí)基金的分級(jí)模式都不一樣,但對(duì)其定價(jià)的基本理論方法卻有共通之處 本文首先通過對(duì)國(guó)內(nèi)外分級(jí)基金發(fā)展的梳理,對(duì)這一杠桿型基金的作用以及特點(diǎn)進(jìn)行總結(jié)。同時(shí)利用經(jīng)典的Black-Scholes模型以及蒙特卡洛模擬對(duì)國(guó)內(nèi)的分級(jí)基金進(jìn)行估值分析。
[Abstract]:Leveraged funds first emerged in overseas markets, and it was not until 2007 that the domestic fund market first appeared, filling the gap in the domestic market. The graded fund products have entered a period of rapid development. The major fund management companies in China, as well as some asset management companies, have been constantly upgrading and innovating the structured products of graded funds. We can foresee that the graded fund will become the main form of the domestic fund in the future. However, because of the late development of the graded fund products in the domestic market, So the real revolutionary products have not yet appeared, most of the graded fund products still draw lessons from the existing product models of foreign countries, which makes it very necessary to analyze the financial assets of similar classified funds abroad. At the same time, How to price the graded funds is also a puzzling problem for investors. The classification models of different graded funds are different, but the basic theory and methods of pricing have something in common. Firstly, this paper summarizes the function and characteristics of the leveraged fund by combing the development of the domestic and foreign classified funds. At the same time, the classical Black-Scholes model and Monte Carlo simulation are used to evaluate the domestic graded funds.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前4條

1 金列;;基于杠桿設(shè)計(jì)的創(chuàng)新型封閉式分級(jí)基金研究[J];經(jīng)濟(jì)論壇;2009年10期

2 龔晨晨;;封閉式基金價(jià)格,凈值與股指的協(xié)整與引導(dǎo)關(guān)系實(shí)證分析[J];金融經(jīng)濟(jì);2007年16期

3 陸紅;;我國(guó)封閉式基金價(jià)格、凈值與股指的實(shí)證分析[J];金融縱橫;2006年10期

4 郝云;;金融創(chuàng)新與道德風(fēng)險(xiǎn)控制[J];上海財(cái)經(jīng)大學(xué)學(xué)報(bào);2009年05期

，

本文編號(hào)：1549244