汇率连动远期协议的创新及定价

The Innovation and Pricing Policy about Forward Exchange Rate Agreement

随着中国加入WTO以及全球经济的日趋一体化,设计结构简单且具有较低远期价格的汇率连动远期协议对吸引国际投资者的兴趣,提高券商的核心竞争力至关重要。通过设计出所谓的平方根汇率连动远期契约,用鞅定价方法求出其精确的定价公式,并对平方根权证和Wei(1997)的权证的远期价格进行了比较,结论表明:与Wei(1997)的汇率连动远期契约相比,平方根权证具有降低远期价格的功能;同时平方根汇率连动远期协议和Wei(1997)权证的避险操作策略一样简单可行。

Forward Exchange Rate Agreements with low strike price play a vital role to attract international investors and to strengthen individuals' competitivibility. Martingale pricing technique provides a precise formula to the so-called Square Root Forward Exchange Rate Agreement. The comparison of the strike prices between square root option and Wei(1997)'s option shows that: (1) To compare Wei(1997)'s Forward Exchange Rate Agreement, Square root option can reduce the strike price. (2) The hedging strategy of square root Forward Exchange Rate Agreement is operatable as simple as the hedging strategy in Wei(1997)'s option.