摘要
人民币外汇期权市场在逐步发展当中,针对其定价水平的分析研究方兴未艾。从构造两种不同的套利组合出发,对两个期限不同在值水平的人民币外汇期权进行了套利分析,发现:人民币外汇期权市场定价偏高,长期限期权定价更高。对此分析了其中原因,并给出了相应的政策建议。
As the RMB FX option market developed, people start to study this market’s pricing efficiency.Through executing the traditional BS arbitrage and SLSG strategy, we found generous arbitrageopportunities in this market. These results states that： RMB FX options are priced higher than its truevalue, and longer tenor options priced much higher. We attribute this to several reasons and give ourpolicy recommendations.
出处
《金融理论与实践》
北大核心
2014年第11期1-6,共6页
Financial Theory and Practice
