【摘要】：TIPP策略是收益保證類金融產(chǎn)品所采用的主要交易策略之一。文章分別采用幾何布朗運動與有限跳躍Levy過程來刻畫風險資產(chǎn)的價格過程,并對離散交易框架下的TIPP策略收益保證進行定價。由于TIPP策略下投資組合市值過程的復雜性,文章無法得到收益保證的解析定價公式。文章給出了離散交易框架下TIPP策略的一個特例下的封閉定價公式。數(shù)值分析的結(jié)果表明:離散交易條件下,(1)無論是否存在價格跳躍及借款限制,TIPP策略收益保證均存在缺口風險,收益保證的價格大于0;(2)與傳統(tǒng)連續(xù)價格路徑情形相比,價格跳躍條件下TIPP策略收益保證價格更高;(3)TIPP策略收益保證的價格與策略乘數(shù)、收益保證水平、杠桿比率以及調(diào)整周期正相關(guān),與價值底線百分比負相關(guān);(4)借款限制會降低TIPP策略收益保證的價格,且該效應(yīng)隨著策略乘數(shù)、收益保證水平、杠桿比率以及調(diào)整周期的增加而增強,隨著價值底線百分比的上升而減弱。
[Abstract]:TIPP strategy is one of the main trading strategies used in income guarantee financial products. In this paper, the geometric Brownian motion and the finite jump Levy process are used to describe the price process of risky assets, and the TIPP policy return guarantee under the framework of discrete transaction is priced. Because of the complexity of portfolio market value process under TIPP strategy, this paper can not obtain the analytic pricing formula of income guarantee. In this paper, the closed pricing formula for a special case of TIPP strategy in the framework of discrete transaction is given. The results of numerical analysis show that: (1) whether or not there is price jump or not, there is gap risk in revenue guarantee of TIPP strategy, and the price of revenue guarantee is greater than 0; (2) compared with the traditional continuous price path, Under the condition of price jump, the guaranteed price of TIPP policy income is higher. (3) the price of TIPP policy income guarantee is positively correlated with the policy multiplier, the level of income guarantee, the leverage ratio and the adjustment period. (4) borrowing restriction will reduce the price of TIPP policy income guarantee, and the effect will increase with the increase of policy multiplier, income guarantee level, leverage ratio and adjustment cycle. As the value bottom line percentage rises, it weakens.
【作者單位】： 上海交通大學安泰經(jīng)濟與管理學院;
【基金】：國家自然科學基金資助項目(71273169)
【分類號】：F830.9;F224
，

本文編號：2258358