本文關(guān)鍵詞：我國5年期國債期貨合約定價(jià)研究　出處：《浙江工商大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 國債期貨 最便宜可交割債券 隱含選擇權(quán) 無套利定價(jià)模型

【摘要】：我國5年期國債期貨合約標(biāo)的資產(chǎn)是一籃子可交割債券,允許賣方在交割時(shí)選擇最便宜債券進(jìn)行交割,從而存在隱含選擇權(quán)價(jià)值,該選擇權(quán)價(jià)值必然會(huì)反映在國債期貨合約價(jià)格上。故有別于股指期貨及一般商品期貨合約定價(jià),國債期貨合約理論價(jià)格的確定相對(duì)較為復(fù)雜。為此,本文研究我國5年期國債期貨合約的理論價(jià)格確定問題,對(duì)于提升我國國債期貨價(jià)格發(fā)現(xiàn)功能的有效性,以及對(duì)于投資者利用國債期貨進(jìn)行套利和套期保值等交易,具有重要的理論和實(shí)際意義。本文根據(jù)中金所設(shè)計(jì)的5年期國債期貨合約,通過分析我國國債期貨市場(chǎng)與標(biāo)的物市場(chǎng)的發(fā)展?fàn)顩r,比較中美兩國國債期貨交割機(jī)制的差異,詳細(xì)探討了我國國債期貨合約隱含選擇權(quán)特點(diǎn)并據(jù)此對(duì)隱含選擇權(quán)進(jìn)行定價(jià),從而提供更加精確的國債期貨理論價(jià)格模型。在理論分析的基礎(chǔ)上,本文通過探討中債銀行間國債指數(shù)、上證5年期國債指數(shù)與國債期貨價(jià)格之間的關(guān)系確定國債期貨標(biāo)的物價(jià)格的選取。接著構(gòu)建線性回歸模型分析隱含選擇權(quán)與國債期貨價(jià)格的關(guān)系,并以TF1612合約的具體數(shù)據(jù)研究國債期貨定價(jià)效果。研究發(fā)現(xiàn),國債期貨價(jià)格與標(biāo)的物價(jià)格存在聯(lián)動(dòng)性,國債期貨價(jià)格受到銀行間國債價(jià)格的影響強(qiáng)于交易所國債價(jià)格,即國債期貨標(biāo)的物價(jià)格選擇銀行間國債價(jià)格;隱含選擇權(quán)價(jià)值對(duì)國債期貨價(jià)格存在顯著影響;不考慮隱含選擇權(quán)的國債期貨理論價(jià)格與期貨結(jié)算價(jià)較為一致,但兩者之間存在一定程度的偏差,而基于隱含選擇權(quán)價(jià)值修正后的理論價(jià)格與結(jié)算價(jià)之間的差距明顯減小,即證明隱含選擇權(quán)價(jià)值能修正國債期貨定價(jià)偏差。
[Abstract]:The underlying assets of China's 5-year Treasury bond futures contract are a basket of deliverable bonds, which allows the seller to choose the cheapest bonds for delivery at the time of delivery, thus the implied option value exists. The value of this option will inevitably be reflected in the price of national debt futures contracts. Therefore, different from the pricing of stock index futures and general commodity futures contracts, the determination of theoretical prices of national debt futures contracts is relatively complex. This paper studies the theoretical price determination of 5-year Treasury bond futures contract in China, which is effective to enhance the function of the discovery of the futures price of China's treasury bonds. And it has important theoretical and practical significance for investors to carry out arbitrage and hedging transactions using treasury bond futures. This paper designs a 5-year Treasury bond futures contract based on CICC. By analyzing the development of the treasury bond futures market and the subject-matter market in China, the paper compares the differences of the futures delivery mechanism between China and the United States. This paper discusses in detail the characteristics of implied option of futures contract of treasury bonds in China and pricing the implied option in order to provide a more accurate theoretical price model of treasury bond futures on the basis of theoretical analysis. This paper discusses the inter-bank bond index of Chinese debt. The relationship between Shanghai 5-year Treasury bond index and the futures price of treasury bonds determines the choice of the price of the subject matter of treasury bonds futures. Then a linear regression model is constructed to analyze the relationship between implied options and the futures prices of treasury bonds. And using the specific data of TF1612 contract to study the pricing effect of treasury bond futures. The study found that the bond futures price and the price of the subject matter have a linkage. The price of treasury bond futures is strongly influenced by the price of inter-bank treasury bonds, that is, the price of the subject matter of treasury bonds is chosen as the price of inter-bank bonds. The value of implied option has a significant effect on the futures price of treasury bonds; The theoretical price of treasury bond futures which does not consider the implied option is more consistent with the futures settlement price, but there is a certain degree of deviation between them. The difference between the theoretical price and the settlement price is obviously reduced, that is to say, the implied option value can correct the pricing deviation of national debt futures.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F812.5;F724.5

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本文編號(hào)：1373679