基于期权平价原理的内幕交易管制设计

The System Design for Insider Trading Regulation Based on the Principle of Call-put Parity

根据期权平价原理,股票、零息国债、欧式股票的买权与卖权等四类资产之间存在一种等价关系,因此每种资产都可由其他三个变量的投资组合来进行等价的表达。某些高管人员利用政府对分属于不同领域的投资组合的管制差异,以等价的期权投资组合替代股票交易从而进行变相内幕交易。中国证券监管部门有必要对管制制度安排进行优化,将衍生证券交易也纳入到内幕交易管制系统中来。

According to the option parity theorem, there exists an equivalence relation between these four assets： shares, zero-coupon bonds, and the rights to buy and sell European-style shares so that the value of each asset can be expressed in the portfolio of the other three assets. Taking advantage of the different government measures for controlling ofthe portfolios in different areas, some Chinese senior management personnel engage in insider trading in disguise by substituting equivalent option portfolios for stock trading. It is therefore essential for China＇s securities regulatory authorities to improve their control measures to extend the system for controlling insider trading to the trading of derivative securities.