| 后危机时代中小企业金融担保费率定价机制的重塑——基于期货期权的理论视角 |
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| 引用本文： | 顾海峰,贺嘉. 后危机时代中小企业金融担保费率定价机制的重塑——基于期货期权的理论视角[J]. 财经理论与实践, 2011, 32(4): 9-14 |
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| 作者姓名： | 顾海峰 贺嘉 |
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| 作者单位： | 1. 东华大学旭日工商管理学院,上海,200051
2. 中山大学数学与计算科学学院,广东广州,510275 |
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| 基金项目： | 国家社科基金项目，中国博士后科学基金资助项目，2011年度中央高校基本科研业务费专项资金资助项目、国家社科基金重点项目 |
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| 摘 要： | 以金融担保费率的经验定价机制及重塑思路为切入点,通过分析金融担保的期货期权特征,导出期货期权价格演化的随机微分方程及基于期货期权视角的金融担保费率演化方程,并利用欧式期货看涨期权与欧式期货看跌期权的价格关系,得到基于期货期权视角的金融担保费率定价公式,从而完成中小企业金融担保费率定价机制的重塑目标。
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| 关 键 词： | 中小企业 金融担保 费率定价机制 重塑 期货期权 |
The Reconstruction of Finance Guarantee Rate Pricing Mechanism in Small-Medium Enterprises in Post Crisis Era:From the Perspective of Futures Option Theory |
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| GU Hai-feng,HE Jia. The Reconstruction of Finance Guarantee Rate Pricing Mechanism in Small-Medium Enterprises in Post Crisis Era:From the Perspective of Futures Option Theory[J]. The Theory and Practice of Finance and Economics, 2011, 32(4): 9-14 |
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| Authors: | GU Hai-feng HE Jia |
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| Affiliation: | 1.Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China;2.School of Mathematics & Computational Science,Sun Yat-sen University,Guangzhou,Guangdong 510275,China) |
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| Abstract: | The finance guarantee rate pricing mechanism used and its future option features are analyzed. Then the pricing stochastic differential equation and finance guarantee fee evolution equation are conducted. Further, used the price relationship between the call option and puts in European future option, the finance guarantee rate pricing equation is developed. The goal of pricing reconstruction is get. |
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| Keywords: | Small-medium enterprises Finance guarantee Fee rate pricing mechanism Reconstruction Futures option |
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