本文關(guān)鍵詞： 被動復(fù)制指數(shù)型分級基金 折溢價 障礙期權(quán) 行為金融　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：分級基金發(fā)展至今已有近7年時間,從最初的一些設(shè)計條款較為復(fù)雜的難以被投資者接受的分級基金逐步向前發(fā)展,隨后是一些被動復(fù)制指數(shù)型的分級基金成為主流,直到目前市場上最新出現(xiàn)的多空分級基金,分級基金無疑為證券市場上喜好風(fēng)險的投資者提供了更多的選擇。分級證券投資基金,簡稱分級基金,實際上是將同一個基金產(chǎn)品進行了結(jié)構(gòu)化分級,不同份額享有不同收益風(fēng)險的一種創(chuàng)新型的基金產(chǎn)品,創(chuàng)新點主要在于一種產(chǎn)品的兩種份額能夠同時滿足市場上不同風(fēng)險偏好的投資者,通過產(chǎn)品內(nèi)部兩種份額的風(fēng)險轉(zhuǎn)移,達到該產(chǎn)品最終的風(fēng)險平衡。本篇論文試圖解答當前分級基金市場上一個非常有趣的想象：分級基金的A份額收盤價總是折價交易,而B份額總是溢價交易。帶著這個問題出發(fā),本文首先將研究對象縮小為當前分級基金市場上設(shè)計條款最主流,相對于投資者來講最容易理解、也最容易被接受的被動復(fù)制指數(shù)型分級基金,通過對這類分級基金設(shè)計條款的介紹與研究,試圖利用蒙特卡洛模擬的方法對隱含在這類分級基金中的障礙期權(quán)進行定價,最后,在剔除障礙期權(quán)因素的影響下,從行為金融學(xué)的角度出發(fā),將能夠反映投資者情緒的一些指標對分級基金B(yǎng)份額的溢價率進行回歸分析,試圖從投資者心理和情緒的角度解釋分級基金B(yǎng)份額總是溢價的現(xiàn)象。本篇論文使用的方法為蒙特卡洛模擬為障礙期權(quán)定價,數(shù)據(jù)來源為wind金融數(shù)據(jù)庫,結(jié)論是B份額溢價率一方面是由B份額隱含的障礙期權(quán)決定的,另-方面是由投資者情緒如處置效應(yīng)和賭徒的謬誤所影響的。
[Abstract]:Classification funds have been developed for nearly 7 years, from the initial design terms are more complex and difficult to be accepted by investors. Then came the passive replication of index-based rating funds into the mainstream until the market is the latest long-short rating funds. Graded funds undoubtedly provide more choices for risk-loving investors in the securities market. Classified securities investment funds, referred to as hierarchical funds, are actually structured classification of the same fund products. Different shares enjoy different income risk of an innovative fund product, the innovation point is that the two shares of one product can meet different risk preferences of investors in the market at the same time. Risk transfer through two shares within the product. To achieve the ultimate risk balance of the product. This paper attempts to answer a very interesting imagination in the current graded fund market: the A share closing price of the graded fund always trades at a discount. B share is always trading at a premium. With this problem, this paper first reduces the research object to the most mainstream design terms in the current hierarchical fund market, compared with investors, the most easily understood. It is also the most easily accepted passive replication index classification fund, through the introduction and research of the design terms of this kind of classification fund. This paper attempts to use Monte Carlo simulation method to price the barrier options hidden in this kind of classified funds. Finally, under the influence of excluding obstacle options, we proceed from the perspective of behavioral finance. Some indicators reflecting investor sentiment will be used to analyze the premium rate of B share of graded funds. This paper attempts to explain the phenomenon that B share of graded funds is always at a premium from the perspective of investor psychology and emotion. The method used in this paper is Monte Carlo simulation for the pricing of barrier options, and the source of the data is wind financial database. The conclusion is that the B share premium rate is determined by the implied barrier option of B share on the one hand, and on the other hand by investor sentiment such as disposition effect and gamblers' fallacy.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1471069