特殊剩余价值形式的牛熊证定价研究

Research on the pricing of callable bull/bear contracts with special form of residual value

牛熊证是在香港交易所交易的新型金融衍生产品,能追踪相关资产的表现而无须支付购入实际资产的全数金额.本文在Black-Scholes期权定价模型的基础上,根据牛证与熊证的价值性质,推导出满足相应条件的偏微分方程,并应用热传导方程的求解方法,得出特殊剩余价值形式的牛证与熊证的模型定价公式.通过对比分析得知,该模型定价低于其理论定价.

Callable bull/bear contracts （CBBCs） are a new type of financial derivative product, it can track the performance of an underlying asset without requiring investors to pay the asset＇s full price. Based on the Black- Scholes pricing model of options and value property of CBBCs, this paper establishes the partial differential equation（PDE） for CBBCs. By solving the PDE with the solution for equation of heat conduction, the paper derives the pricing formula that has special form of residual value. The price from the above pricing formula is less than the theoretical price of CBBCs by contrastive analysis.