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不完备市场下的远期结售汇定价问题研究
引用本文:徐子福,洪昊.不完备市场下的远期结售汇定价问题研究[J].技术经济,2006,25(8):41-44102.
作者姓名:徐子福  洪昊
作者单位:浙江大学,经济学院,杭州,310028
摘    要:本文在研究人民币汇率形成机制改革后远期结售汇市场开放进程的基础上,认为市场不完备和定价不合理成为制约远期结售汇业务发展的主要原因。通过对远期结售汇合同签约金额和定价进行相关性分析后,我们借鉴Black-Scholes模型,建立了远期结售汇定价模型,分析了市场不完备对远期结售汇定价的影响,并提出相关对策建议。

关 键 词:远期结售汇  市场完备性  定价  Black-Scholes模型
文章编号:1002-980X(2006)08-0041-04
收稿时间:03 30 2006 12:00AM
修稿时间:2006-03-30

The Research on Forward Buying-selling Foreign Exchange Pricing in Immature Market
XU Zi-fu,HONG Hao.The Research on Forward Buying-selling Foreign Exchange Pricing in Immature Market[J].Technology Economics,2006,25(8):41-44102.
Authors:XU Zi-fu  HONG Hao
Institution:School of Economics, Zhejiang University, Hangzhou 310028,China
Abstract:This paper, based on the reality of opening forward buying - selling foreign exchange market after the reform of RMB exchange rate mechanism, draws a conclusion that immature market and unreasonable pricing are the most important factors during the market development. By analyzing the relative of amount and pricing of forward buying - selling foreign exchange and following the frameworks of Black - Scholes model, we build up pricing model of forward buying - selling foreign exchange to analyze the efficiency of immature market and put forward some relative suggestions.
Keywords:Forward Buying- selling Foreign Exchange  Immature Market  Pricing  Black- Seholes Model
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