| 期权加油卡的产品设计、定价和套期保值研究 |
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| 引用本文： | 宋军,凌若冰,吴冲锋.期权加油卡的产品设计、定价和套期保值研究[J].经济研究,2011(Z1). |
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| 作者姓名： | 宋军 凌若冰 吴冲锋 |
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| 作者单位： | 复旦大学经济学院国际金融系;上海交通大学安泰经济与管理学院; |
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| 基金项目： | 国家自然科学基金(70701011); 复旦大学985工程三期(2011SHKXZD003) |
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| 摘 要： | 在消费者被迫接受成品油价格风险、石油零售商零售业竞争日益激烈和我国成品油定价机制矛盾日益突出的背景下,本文提出石油零售商可发行期权加油卡来实现下面三个目标:(1)为消费者提供成品油价格风险管理的工具;(2)为石油零售商提供一种新的锁定客户的营销手段;(3)推进成品油的市场化改革。本文首先设计期权加油卡,然后采用蒙特卡罗模拟方法对加油卡定价,接着分析石油零售商发行加油卡的风险的套期保值损益,最后讨论期权加油卡的相关实际操作问题。
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| 关 键 词： | 期权 加油卡 成品油 套期保值 亚式期权 |
Researches on the Design,Pricing and Hedging of the Oil Cards Option |
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| Song Juna,Ling Ruobinga , Wu Chongfengb.Researches on the Design,Pricing and Hedging of the Oil Cards Option[J].Economic Research Journal,2011(Z1). |
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| Authors: | Song Juna Ling Ruobinga Wu Chongfengb |
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| Institution: | Song Juna,Ling Ruobinga and Wu Chongfengb (a:Economics School,Fudan University,b:Antai Economics and Management School,Shanghai Jiaotong University) |
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| Abstract: | This paper proposed that the petroleum retailers can issue oil cards with options. This innovation may achieve the following three goals:(1) to provide an oil price risk management tool to consumers; (2) to provide a new promotion way for oil retailers; (3) to promote market-oriented reformation of the refined oil. This paper firstly designs the oil card with option. Then the Monte Carlo simulation method is applied to price the oil cards. Next,the related hedging strategies are discussed. Lastly we discuss... |
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| Keywords: | Option Oil Cards Refined oil Hedging Asian Option |
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