基于完美对冲策略的亚式商品互换定价和实务

Pricing and Practice of Asian Commodity Swap based on Perfect Hedging Strategy

随着金融衍生品的不断创新和市场需求的不断提升,亚式商品互换这一奇异衍生品类型逐渐在国内市场出现,但国内学界对于亚式商品互换的定价研究还是空白。本文通过对完美对冲策略的设计,推导出亚式商品互换的理论固定价格,并采用历史回测方法和蒙特卡罗模拟法来估算亚式商品互换的资金成本,同时对各种商品互换变种的定价结果进行比较分析;基于理论推导和实务分析提出了亚式商品互换精确的定价过程,并对交易商的相关业务提出了建议。

With the continuous innovation of financial derivatives and the increasing market demand,Asian Commodity Swap,a type of exotic derivatives,has gradually arisen in the domestic market,but the pricing of Asian Commodity Swap is still blank in domestic academia.Based on the design of perfect hedging strategy,this paper deduces the theoretical fixed price of Asian commodity swap and estimates the capital cost of Asian Commodity Swap by using Historical Backtest Method and Monte Carlo Simulation Method.At the same time,the pricing results of various commodity swap variants are compared and analyzed.Based on theoretical deduction and practical analysis,the precise pricing process of Asian Com-modity Swap is given and some suggestions for dealers related businesses are put forward.