ÆÚȨËðÒæ¹éÒòпò¼ÜÊÇ·ñÊÊÓÃÓÚÖйúÆÚȨÊг¡£¿IBSSѧÕßÑо¿¼û½â

½üÆÚ£¬ÀÖ·¢lvÀûÎïÆÖ´óѧ£¨XJTLU£©Î÷ÆÖ¹ú¼ÊÉÌѧԺ£¨IBSS£©½ðÈÚϵ¸ß¼¶¸±½ÌÊÚÈîöηᲩʿ¼°ÆäÓàÁ½Î»ºÏ×÷Õߣ¬¹²Í¬×«Ð´µÄÂÛÎÄ"Option Profit and Loss Attribution and Pricing in the Chinese Options Market"£¬Òѱ»ABDC AÆÚ¿¯?Pacific-Basin Finance Journal?Õýʽ·¢±í¡£¸ÃÂÛÎÄÑо¿ÁËÔÚÉÏÖ¤ 50 ÆÚȨÊг¡ÖдÓËðÒæ¹éÒòпò¼ÜÖÐÍƶϳöµÄÐÅÏ¢£¬ÌرðÊÇÆÀ¹ÀÁËÍƶϳöµÄ¹À¼ÆÖµÄÜ·ñÌá¸ß¶Ô¼ÛÄÚÒþº¬²¨¶¯ÂÊÐòÁеÄδÀ´ÒÑʵÏÖ·½²îºÍЭ·½²îµÄÔ¤²â¾«¶È¡£½á¹û±íÃ÷£¬ÓëЭ·½²îÏà±È£¬ÒÑʵÏÖ·½²îµÄÔ¤²âÐÔ½ÏÈõ£¬²¢ÇÒпò¼ÜËù¹À¼Æ³öµÄЭ·½²îºÍ·½²î¹±Ï×ʼÖÕСÓÚ»ùÓÚÀúÊ·Êý¾ÝµÄ¹À¼Æ¡£

½üÆÚ£¬Ò»¸öÐÂÓ±µÄ×ÔÉ϶øϵĹÀÖµ¿ò¼Ü±»Ìá³ö£¬½«ÆÚȨͶ×ʵĶ¨¼ÛÓëÆäÿÈÕËðÒæ¹éÊôÁªÏµÆðÀ´¡£¸Ã¿ò¼ÜÀûÓà Black-Merton-Scholes ÆÚȨ¶¨¼Û¹«Ê½£¬½«¶ÌÆÚÆÚȨͶ×Ê·çÏÕÓë±êµÄ֤ȯ¼Û¸ñºÍÆÚȨÒþº¬²¨¶¯Âʵı仯ÁªÏµÆðÀ´¡£È»¶øÕâÖÖ×ÔÉ϶øϵĹÀÖµ¿ò¼ÜÊÇ·ñÊÊÓÃÓÚÖйúÆÚȨÊг¡£¿ÖÁ½ñûÈË̽ÌÖ¡£¸ÃÂÛÎÄͨ¹ý¸´ÏÖÆäÑо¿²¢½áºÏÖйú SSE 50 ETF ÆÚȨÊг¡µÄÊý¾Ý£¬ÉîÈë̽ÌÖÇ°Õ°ÐÔ·çÏÕÖÐÐÔ¹À¼ÆÁ¿ÔÚÔ¤²âδÀ´ÊµÏÖ·½²îºÍЭ·½²î·½ÃæµÄ±íÏÖ¡£Ñо¿²»½öÑéÖ¤Á˸ÿò¼ÜÔÚÖйúÊг¡ÖеÄÊÊÓÃÐÔ£¬»¹½ÒʾÁËÖÐÃÀÆÚȨÊг¡ÔÚ²¨¶¯ÂʽṹºÍÔ¤²âÄÜÁ¦ÉϵÄÏÔÖø²îÒ죬ΪͶ×ÊÕߺÍÑо¿ÕßÌṩÁËÖØÒªµÄÀíÂÛÓëʵ֤֧³Ö¡£

¸ÃÂÛÎÄÊÇÊ״γ¢ÊÔÔÚÖйú SSE 50 ETF ÆÚȨÊг¡Öи´ÏÖ Carr ºÍ Wu µÄÆÚȨ¹ÀÖµ¿ò¼Ü¡£Í¨¹ý¹¹½¨¸¡¶¯²¨¶¯ÂÊʱ¼äÐòÁУ¬Ñо¿·ÖÎöÁËÖйúÊг¡Ç°Õ°ÐÔ¹À¼ÆÁ¿µÄ±íÏÖ£¬²¢·¢ÏÖÆäÔÚÔ¤²âδÀ´ÊµÏÖ·½²îºÍЭ·½²îÖеıíÏÖÓëÃÀ¹úÊг¡ÓÐÏÔÖø²îÒì¡£¾ßÌå¶øÑÔ£¬¾¡¹ÜÇ°Õ°ÐÔ¹À¼ÆÁ¿ÔÚÃÀ¹úÊг¡ÏÔʾ³öÒ»¶¨µÄÔ¤²âÄÜÁ¦£¬µ«ÔÚÖйúÊг¡ÖУ¬¸Ã¹À¼ÆÁ¿¶ÔδÀ´Ð­·½²îµÄÔ¤²â¹±Ï×½ÏС£¬ÉõÖÁÔÚijЩÇ龳ϳÊÏÖ¸ºÏà¹Ø¡£¶øʱ¼äÐòÁйÀ¼ÆÁ¿ÔÚÁ½¸öÊг¡Öоù±íÏÖ³ö½Ï¸ßµÄÔ¤²âÄÜÁ¦¡£±¾ÎĵÄÕâÒ»·¢ÏÖÑéÖ¤ÁË Carr ºÍ Wu ¿ò¼ÜÔÚÐÂÐËÊг¡µÄÊÊÓÃÐÔ£¬Í¬Ê±½ÒʾÁËÖйúÊг¡µÄ¶ÀÌØÐÔ¡£

ͨ¹ý¶ÔÖйú SSE 50 ETF ÆÚȨÊг¡µÄʵ֤·ÖÎö£¬·¢ÏÖÆ䲨¶¯ÂÊ΢ЦÌØÕ÷ÓëÃÀ¹úÊг¡ÓÐÏÔÖø²îÒì¡£ÔÚÃÀ¹úÊг¡£¬²¨¶¯ÂÊ΢ЦÆÕ±é³ÊÏÖ¸ºÆ«Ì¬£¬·´Ó³ÁËÊг¡¶Ô¼«¶ËÏÂÐзçÏյĹØ×¢¡£È»¶ø£¬ÖйúÊг¡µÄ²¨¶¯ÂÊ΢ЦÔò±íÏÖΪÓÒÆ«µÄ¡°ÇãбÌØÕ÷¡±£¬ÕâÓëÉ¢»§Í¶×ÊÕßÖ÷µ¼µÄ½»Ò×ÐÐΪÒÔ¼°Õþ²ß¸ÉÔ¤ÃÜÇÐÏà¹Ø¡£´ËÍ⣬Ñо¿»¹·¢ÏÖ£¬ÖйúÊг¡µÄ²¨¶¯ÂÊ΢ЦÔÚ²»Í¬µ½ÆÚÆÚÏÞÉϵı仯¹æÂɽÏÃÀ¹úÊг¡¸ü¼ÓÏÔÖø¡£ÕâЩ·¢ÏÖ²»½öΪÀí½âÐÂÐËÊг¡µÄÆÚȨ¼Û¸ñ¶¯Ì¬ÌṩÁËÐÂÊӽǣ¬Ò²ÎªÍ¶×ÊÕßÔÚ²»Í¬Êг¡Ìõ¼þÏÂÖƶ¨½»ÒײßÂÔÌṩÁËÖØÒª²Î¿¼¡£

±¾Ñо¿ÏµÍ³±È½ÏÁËÇ°Õ°ÐÔ·çÏÕÖÐÐÔ¹À¼ÆÁ¿Ó봫ͳʱ¼äÐòÁйÀ¼ÆÁ¿ÔÚÔ¤²âδÀ´ÊµÏÖ·½²îºÍЭ·½²îÖеÄÄÜÁ¦¡£½á¹ûÏÔʾ£¬¾¡¹ÜÇ°Õ°ÐÔ¹À¼ÆÁ¿ÔÚÀíÂÛÉÏ°üº¬¸ü¶àÊг¡Ô¤ÆÚµÄÐÅÏ¢£¬µ«ÆäÔÚÖйúÊг¡ÖеÄÔ¤²âÄÜÁ¦½ÏΪÓÐÏÞ£¬ÓÈÆäÊÇÔÚÔ¤²â·½²îʱµÄ±íÏÖÃ÷ÏÔÈõÓÚʱ¼äÐòÁйÀ¼ÆÁ¿¡£´ËÍ⣬ÖйúÊг¡µÄÔ¤²âÄÜÁ¦ÕûÌå½ÏÃÀ¹úÊг¡Æ«µÍ£¬Õâ¿ÉÄÜÓëÊг¡Ð§ÂʽϵÍ¡¢É¢»§²ÎÓë¶È¸ßÒÔ¼°Êý¾ÝÔëÉù½Ï¶àÓйØ¡£Í¨¹ý½ÒʾÕâЩ²îÒ죬Ñо¿²»½öΪδÀ´Ìá¸ßÖйúÆÚȨÊг¡µÄЧÂÊÌṩÁËʵ֤ÒÀ¾Ý£¬»¹ÎªÆäËûÐÂÐËÊг¡µÄÑо¿ÌṩÁ˲ο¼Ä£ÐÍ¡£

ÈîöηᲩʿ£¬ÏÖÈÎÀÖ·¢lvÀûÎïÆÖ´óѧÎ÷ÆÖ¹ú¼ÊÉÌѧԺ½ðÈÚѧ¸ß¼¶¸±½ÌÊںͽ­ËÕÊ¡ÌØƸ½ÌÊÚ£¬Journal of Chinese Economic and Business Studies£¨SSCI, Ó°ÏìÒò×Ó£º2.4£© ¸±Ö÷±à¡£2019ÄêÖÁ2023ÄêÈνÌÓÚ°ÂËþ¸ç´óѧ£¨ÐÂÎ÷À¼£©£¬ÏȺóµ£ÈνðÈÚѧ½²Ê¦ºÍ¸ß¼¶½²Ê¦¡£2018ÄêÖÁ2019ÄêÔڰ¿ËÀ¼Àí¹¤´óѧ£¨ÐÂÎ÷À¼£©µ£Èβ©Ê¿ºóÑо¿Ô±¡£Ö÷ÒªÑо¿ÁìÓòΪ×ʲú¶¨¼ÛºÍÑÜÉúÆ·£¬ÔÚJournal of Financial Markets¡¢ Journal of Economic Dynamics & Control¡¢Journal of Futures MarketsµÈSSCIÆÚ¿¯·¢±í30Óàƪ¡£»ñµÃ2019Äê¶È°ÂËþ¸çÉÌѧԺ×î¼ÑÄê¶È¿ÆÑÐÈËÔ±£¨ÐÂÐË£©¡£ÔÚ×î½üµÄ¹úÄں͹ú¼Ê»áÒéÉ϶à´Î»ñµÃ×î¼ÑÂÛÎĽ±¡£ÒÑÖ¸µ¼½ðÈÚѧ²©Ê¿Éú£¨°ÂËþ¸ç´óѧ£©±ÏÒµ7Ãû¡£2023Äê»ñµÃ½­ËÕÊ¡ÌØƸ½ÌÊÚ£¨"½­ËÕÊ¡¸ß²ã´Î´´Ð´´ÒµÈ˲ÅÒý½ø¼Æ»®"½ÌÓýÀàÏîÄ¿£©¡£

Journal
Pacific-Basin Finance Journal ÊÇÒ»±¾½ðÈÚѧÆÚ¿¯£¬Ö¼ÔÚÌṩһ¸öרÃÅÂÛ̳£¬·¢±íÓйØÑÇÌ«µØÇø×ʱ¾Êг¡µÄ¿É¿¿Ñ§ÊõÑо¿£¨µ«²»°üÀ¨½öʹÓÃÃÀ¹úÊý¾ÝµÄÂÛÎÄ£©¡£Ö÷ÒªÖصã·ÅÔÚ×î¸ßÖÊÁ¿µÄʵ֤µ÷²éÉÏ£¬ÕâЩµ÷²é²àÖØÓÚ½ðÈÚ¾­¼Ãѧ¹ã·ºÁìÓòµÄÑо¿ÎÊÌ⣬Éæ¼°ÓëͶ×Ê¡¢×ʲú¶¨¼Û¡¢¹«Ë¾²ÆÎñ¡¢½ðÈÚ¾ö²ßµÈÏà¹ØµÄµ±´úÖ÷Á÷¿ÎÌâ¡£¸ÃÆÚ¿¯ÆÀ¼¶Îª ABDC A£¬Ó°ÏìÒò×ÓΪ 4.8¡£