基于期权思想的融券费率定价方法研究

20101[]2009-10-21[](1970),,,;(1983),,,;(1981),,,,,,,(,610074)[],,,,,,,[];;[]F830191[]A[]1000596X(2010)01005206,,,,,,,,,,;,,,,,,[1][2],,,,,2520101:[3]()11,21,,3141,(),,:(,),4(1)1,,,,1,,;,,11,1,X,,,,21,,(p),1,,2,X,,p,p()p,,,,,,,XS,,p,pX,pp,p,2,,p,p[4]3520101()199692,,:11,ETF:;20%,011%,;20%,011%,,,116%;,0102%,,014%;,0102%21,,7%,10%(),,,,,200712301015(,:),616,399,749(),,112005627,,200513200563(),12163%,63610719564SX,SX,SX,6,T=015r2111%,N30:S,X,,r,T,N(2)2tudap1-p0101671101640198381100040150670149333,p184111,p190133:p=Xe-r(T-t)N(-d2)-SN(-d1),d1=ln(S/X)+(r+2/2)(T-t)T-t;d2=ln(S/X)+(r+2/2)(T-t)T-t-T-t=d1-T-t4520101p;S;X;T-t;r;N(d1)N(d2)t=0S,X,,r,Tp=185186192108,3114%,315%,,315%,3:,r,T,T,r,TSX,,,21,,,,20061225,200662520061225(),23107%,122530161226SX,,,T=010027r2111%,p0114,01070110,:,,,,,2-p;,,,(),,,011425%,,,013%,,(315%(116%+014%)),(),3,,,,,,,,,,,()200710120071230,[3],,,3,(3552010120%)(4;500%),20071230(3)371084.5%48072.8%:200712303,20078,,,,(000001)180(000010)(399106)100(399004)300(399300)20079120071130(),r3142%,T=015,SX,,44000001000010399106399004399300S487117810754112156371665178106473714133169%32166%31176%32100%32104%p4131788841201246129415162381189P4221169021291272185424153389175P417189891168125718441918838417542612790917712841404281793921618175%8146%8121%8128%8129%48146%8175%,(8121%8128%),,,,,,,,1801003002009112009331(),r213%,T=015,SX,,55000001000010399106399004399300S23731215570898119630941632507178633167%36124%38155%38173%36132%p212112538116924125320131242156P214100542142931136322168244155P2141035421219321093221692441682151915461479391203251062461678196%9167%10131%10136%9170%58196%9167%,(10131%10136%),315%,,,,,45,,20092007,,,2007,2009,,,,,,,()A:013%,6520101,5,011%,1,()011%,,2008919,,011%,011425%,014%,013%,,0114%,011425%,,()014%,013%,:()012%,0115%,(),,,,,,,,(),,9116%9187%,10146%10151%,200913,,,,,,,[1],1[EB/OL]1[2]1[EB/OL]1[3]1()[M]1:,20031[4]1[J]1,2006,(3)1(:)THERESEARCHOFPRICINGMETHODOFSECURITIESLOANRATESBASINGONTHEOPTIONSTHEORYXUJia2gen,WANGHui,SONGZhi2wen(TheSchoolofFinanceofSouthwesternUniversityofFinanceandEconomics,Chengdu610074,China)Abstract:Securitieslendingandsecuritiesfinancingtransactionisatradingsysteminmaturesecuritiesmarkets1Similartofinancing,servicesprovidedbythesecuritieslendingisalsoakindoflendingserv2ices1Whatthedifferenceisthetarget,thesecuritieslendingtargetissecuritiesbutnotfunds1Sinceitisaserviceprovidedbybrokerages,chargesshouldbeconcernedwhichisthesecuritieslendingrate1Sohowtocalculatethesecuritieslendingrates?ThispaperdrawsontheexperienceofTaiwan,andcalculatethepracticalsecuritieslendingratesinthemainlandofChina1Keywords:financingandsecuritieslending;securitieslendingrates;optionpricing75