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本文以深南电与高盛签订的展期期权为例,实证分析了复杂衍生品合约定价是否公平。首先比较了几何布朗运动和OU过程的似然函数值,结果表明OU过程更适合描述油价的走势,进一步采用蒙特卡洛模拟法对展期期权进行了定价。定价结果表明:对于投资银行而言,第一份合约存在小额亏损,但第二份合约的盈利远高于第一份合约的亏损,整个展期合约是盈利的,投资银行拥有第二份合约展期的权利是其盈利的关键。本文结论暗示投资银行可以利用非专业投资者定价知识的匮乏,设计复杂衍生品并通过不公平定价来牟利,文章最后从企业的角度和监管者的角度提出了政策建议。
In this paper, Shennan Power and Goldman Sachs signed the option as an example, the empirical analysis of complex derivatives contract pricing is fair. First, the likelihood function values of geometric Brownian motion and OU process are compared. The results show that the OO process is more suitable for describing the trend of oil prices. Further, Monte Carlo simulation method is used to price the call option. The pricing result shows that for the investment bank, there is a small loss in the first contract but the profit in the second contract is much higher than the loss in the first contract. The entire contract is profitable and the investment bank has the second contract The right to rollover is the key to its profitability. The conclusion of this paper suggests that investment banks can make use of the lack of pricing knowledge of non-professional investors, design complex derivatives and make profits through unfair pricing. Finally, the paper puts forward policy suggestions from the perspective of the enterprise and the regulators.