復(fù)合打包型衍生證券定價和操作研究.pdf

1、復(fù)旦大學(xué)碩士學(xué)位論文復(fù)合打包型衍生證券定價和操作研究姓名：葉峰申請學(xué)位級別：碩士專業(yè)：數(shù)量經(jīng)濟指導(dǎo)教師：唐國興2001.5.1堡壘塹垡型塹塵堡鲞壅笪塑塑堡嬰壅———————————————————三AbstractInthispaper，wediscussthepricingandoperationofpackedandcompoundderivativesecurityAlsowestudytheNewWavefundcomplyin

2、gwiththemodesinglecasestudyprobingintoit’spricing，hedging，profitproducingandrealizationandmarketWjattempttountiethefundcompletelyinordertogainthemethodtOstudyotherpackedandcompoundderivativesecuritiesanduseitforreference

3、tOcreatethederivativesecuritieswhichcanmeatdemandsofChinesemarketinthefutureInthestudywedrawsomeconclusions：1DifferentwaysmustbeusedtOsatisfythedifferentdemandsofdiscretedegreeofoptionpricingTheexplicitsolutioninsomecase

4、can’tbeusedforoptionpricingwhichdemandsdiscretedegree；2Packedderivativesecuritiesmustbedisposedrationallyorwecan’tdiscoverthecourseofprofitproducing；3Whenthepriceofunderlyingsecuritiesdon’tfollowtherandomwalk，thehypothes

5、isthatthevolatilityisconstantmustbeslackentoamendmentthemodelofpricing；4Accordingtothemarketconditionandtherateofcommissionandtaxes，thefeeofthefundmustbedeterminedrationallyandthepracticalmethodofhedgingmustbeusedAllofth