ֻ18ज ֻ4௹ᇏݓܵ॓࿐, 2010୍ 8ᄅ ChineseJournalofManagementScienceAugust, 2010໓ᅣщݼ:1003-207(2010)04-0008-06结构化金融产品的最优设计与定价)))基于发行者与投资者视角崔海蓉1,2,何建敏1,胡小平1(11东南大学经济管理学院,江苏南京 211189;21南京农业大学工学院,江苏南京 210032)ᅋ ေ:ࠎႿྛູࣁವ࿐ཌྷܱં,Ֆؿྛᆀބሧᆀචٚ࢘؇,࣮ਔऎႵళೆൔᅰθ௹ಃ֥ࢲܒ߄Ӂ֥ഡ࠹ࠣఃקࡎ໙ีb൮༵۴ऌؿྛᆀބሧᆀྛູหᆘ,ؓӁᆦڱࢲܒࣉྛഡ࠹,۳ԛᆦڱݦඔ;ఃՑᄝ၂קࡌഡ༯,ؓӁࣉྛקࡎ,ࠆ֤קࡎоކࢳ;ቋުࠎႿӁࡎ۬܄ൔ,ٳљؓ֞௹ൈࡗaѯੱaԚᅰθބԚᆳྛࡎ۬֩ᇗေҕඔࣉྛਲૹ؇ٳ༅,ࢲݔіૼ,ᆃུҕඔэ߄ؓӁંࡎ֥۬႕ཙ҂࣐ཌྷ,ႮႿӁ֥ห൹ྟ,ٳ༅ࢲݔაၘႵӁཌྷбႵ၂קҵၳbܱՍ:ࢲܒ߄Ӂ;ഡ࠹;קࡎ;ྛູࣁವᇏٳোݼ:F83019 ໓ངѓ്:Aӻ෮໌/֥ളଁᇛ௹ࡌඪ0[8]bEntropetal1(2009)1 ႄ֣ؓݓֻؽսۗۆӁ࣮֤֞ཌྷරࢲં[9]bूӔࢲܒ߄Ӂ(StructuredProducts,SPs)֥ቋնڃބᆢᆒ(2005)ႨBDTଆؓ༰ຓ߸ࢲܒหׄࣼ൞ିܔ۴ऌ൧ӆҕაᆀ֥҂ླࣉ/ྛਈྟթॻࣉྛקࡎ[10]b࿐ૹބഒ(2005)࣮ദקቓ0,ၹطӮູݓ࠽ࣁವ൧ӆഈؿᅚቋॹ֥ਵთਔᇏݓၿྛКࣘٳ/ྛϏჭ߸ੱರࣉࣁ0ҍӁᆭ၂bႮႿSPsӈళೆ၂ུఅၳ௹ಃ,෮ၛ၂Ϯ֥קࡎࠏᇅ,ѩႨொັٳٚم۳ԛཁൔקࡎࢳ[11]bࢠࠆ֤ࢳ༅קࡎ܄ൔ[1]bݓଽຓܱႿSPs֥ਸ਼၂ٚ૫Ֆሧᆀ࢘؇࣮ఃؓSPs֥ொݺ,࣮ᇶေЇওၛ༯ਆ۱ٚ૫:ၛࠣSPs֥ቋႪഡ࠹໙,ีྛູࣁವં֤֞ਔܼ၂ٚ૫൞Ֆؿྛᆀ࢘؇ؓӁקࡎࣉྛંބٗႨbShefrinބStatman(1993)Ֆྛູࣁವൌᆣ࣮bChenބKensinger(1990)aChenބં࢘؇ٳ༅ਔԷྍӁ֥ഡ࠹໙ี[12]bSears(1990)ၛࠣBaubonis֩ದ1(1993)ቋᄪؓૅGrnbichlerބWohlwend(2005)ᆷԛྸ؟ሧᆀݓܢௐܫ܌Ӂ(equity-linkedproducts)ᅚषؓSPs֥༏ௐᆦڱӁളࠞնྖ౿,ಏ҂ିؓӁ࣮[2-4]bࢤሢWasserfallenބSchenk(1996)aᇏ෮ݣڄགࣉྛᆞಒܙ[13]bRieger(2008)aHensBurth֩ದ(2001)ٳљؓೋൖሧЧЌӁބRieger(2009)ಪູປಆྟሧᆀႋھ۷ࡆொݺ(capita-lguaranteedproducts)ࣉྛਔ࣮[5-6]bሧЧЌӁ,ႮႿགྷൌᇏሧᆀ֥ႵཋྟStoimenovandWilkens(2005)࣮֣ݓSPsิԛބଖུྛູหᆘ,၂ུᄝྟሧᆀुট҂൞ቋحຓ൬ၭෛӁ֞௹ᇯࡶࢆ֮,ࠧ/ളଁᇛ௹ࡌඪ0Ⴊ֥SPs္ऎႵޓն་ႄ৯,ೂۗۆӁ[14-15]b(lifecyclehypoth[7]esis)bMuck(2007)ᆌ֣ؓݓགྷႵܱႿSPs֥࣮ေહࣇՖؿྛᆀ࢘؇ॉֻ၂սۗۆӁ(leverageproducts)࣮ؿགྷ,ھো੮໙ี,ေહࣇՖሧᆀ࢘؇ॉ੮໙,ี၂۱Ӯۿ֥Ӂൌ࠽ࡎ۬ۚႿંࡎ۬,ሧӁࡎ๋֥۬ᄁڄࣁವӁ,сಖ࠻ॉ੮ਔؿྛᆀ֥൬ၭႻॉ੮ਔགॖၛ҆ٳࢳᆃᇕڸࡆٮႨ֥ކ,ྟၹط҂ᆦሧᆀ֥൬ၭbЧ໓ԷྍᆭԩᄝႿՖؿྛᆀބሧᆀ൬۠ರ௹චٚ൪࢘,۴ऌྛູࣁವ࿐ཌྷܱં,ॉ੮ؿྛᆀބ:2009-12-15;ྩרರ௹:2010-07-05ࠎࣁཛଢ:ݓࡅሱಖ॓࿐ࠎࣁሧᇹཛଢ(70671025)ሧᆀ֥ྛູหᆘ,ࢲކሧЧЌބۗۆӁ֥หቔᆀࡥࢺ:աݚಳ(1977-),୯(ݱቂ),ࡾ්ྷᇜದ,תଲն࿐ׄ,ഡ࠹ਔ၂ॻऎႵᅰθ௹ಃหᆘ֥SPs,ൈࣉ၂ࣜ࠶ܵ࿐ჽ,Ѱൖ࣮ള,ଲࣘ୪ြն࿐۽࿐ჽࢃഽ,࣮ٚཟ:ࣁವڄགܵaࣁವ۽ӱ҄ؓӁࣉྛקࡎ,ࠆ֤Ӂࢳ༅ྙൔ֥קࡎ܄ൔb.
ֻ4௹ աݚಳ֩:ࢲܒ߄ࣁವӁ֥ቋႪഡ࠹აקࡎ#9#ק1Yt=y0+Mt+RWt(PtIR+),ఃᇏ2 Ӂഡ࠹აקࡎMIRaR>0,ѩWt൞ҩ؇Q༯֥ѓሙ҃ᄎ,211 ഡ࠹ପહෛࠏэਈӁᆦڱݦඔ:S(=inf{t\0:Yt<0}=inf{t\0:Yt[0})F=f+PS=f+(SS-XS)1{SS[BS},SI(0,T] ᄝҩ؇Q༯Ⴕ၂۱ۚථۀੱٳ҃b۷หљ(1)ֹ,ؓPs>0,ႵఃᇏT൞֞௹ൈࡗbӁ֥ᆦڱݦඔॖၛٳࢳӮQ(S[s)=Q(S<s)=N(h1(s))+ਆ҆ٳ-2MR-2y:ֻ၂҆ٳf൞ಒקྟᆦڱ(ൈख़TൈҌ۳e0N(h2(s))Ⴭᆦڱ),োරႿਬ༏ௐᅏಊ֥֞௹ᆦڱ;ֻؽ҆ٳఃᇏN(#)൞ѓሙۚථࠒٳ҃ݦඔ,ѩ൞၂۱ᅰθ௹ಃ֥ᇔᆸࠇ֞௹ᆦڱ,ᄝӮඃ௹ࡗ-y0-Ms-y0+Msၩൈख़h1(s)=,h2(s)=b(ЇওTൈख़),St[Bt,ᄵ৫ࠧᆦڱSS-RsRsXS,ՎൈS=inf{t:St[Bt,0<t[T},ڎᄵᆦڱק2ഡa,b,cIR2,ѩb<0,c>a,ପહູਬ,ᆰ֞Ӂ֞௹bఃᇏᆳྛࡎູ۬Xt=ؓPy>0ႵttyX0exp(Qrsds+zt),ీԛᅰθູBt=B0exp(0Qrsds0Qaxb-cxedN=d+cg(y)+d-ch(y)0x2d2d+zt)bູЌᆣSS-XS\0,ᆃ҂ٞࡌഡषൈख़ఃᇏd=2c-2a,ѩႵ0<X0<B0<S0,ѩB0бX0ն֤؟bSt൞ѓ֥ሧӁ(ܢௐࠇܢᆷ)ᄝൈख़t֥ࡎ۬bgdb-dy)(y)=b(c-eN,rt=r(t)y൞ൈࡗt֥৵࿃ݦඔ,іൕၿྛࡗ൧ӆᄜವሧ০ੱ,b(c+db+dy)ᆃࡌഡ֩Ⴟڄག০ੱbz൞ၿྛࡗ൧ӆࢹվ০h(y)=eNbyҵbཁಖ,ھӁ֥ᆳྛࡎ۬ބᅰθඣෛൈࡗڿ۴ऌڄགᇏྟקࡎ,ંӁ֥ଢభࡎᆴႋھэ,ѩაၿྛࡗ൧ӆᄜವሧ০ੱބࢹվ০ҵཌྷܱb֩Ⴟቋᇔ൬ၭ۴ऌڄག০ੱᅼགྷ֥௹ຬᆴ,ႻӁՖᆦڱݦඔॖुԛ,၂ٚ૫ሧᆀିܔࠆ֤ಒॖၛٳࢳӮ၂۱ਬ༏ௐᅏಊა၂۱ᅰθ௹ಃ֥ቆקྟ֥൬ၭ,ॖၛ་ႄ၂ུЌ൯֥ሧᆀ,ൈႻކ,ၹՎఃקࡎ္ႋھ֩Ⴟਬ༏ௐᅏಊ֥ࡎ۬აᅰॖၛࢠ֥֮ӮЧ(აᆰࢤሧѓ֥ཌྷб)ࠆ֤ѓ֥ሧθ௹ಃ֥ࡎ۬ᆭބ[7],ܣקࡎ܄ൔ:ູӁഈശջট֥൬ၭ,ھ൬ၭऎႵ၂ק֥ڄག,ؓ၂Tུڄག࿙֥ሧᆀ္൞ൡႨ֥,ѩھӁߎSPT=EQ[fexp(-Qrsds)]+EQ[PS#exp(-0ॖၛַპࢠཬӱ؇֥ሧӁࡎ๋۬ᄁބ٤ੀྟ;ਸ਼ST၂ٚ૫Ֆؿྛᆀ࢘؇টुႮႿఃቋնാ൞ႵཋQrsds)]=fexp(-0Qrsds)+EQ[PS#exp(-0SQrsds)](3),֥ܣؓؿྛᆀটඪ္൞Ⴕ০֥b0212 ࡌഡᆃᆺေ࠹ෘᅰθ௹ಃ֥ࡎ۬,ॉ੮֞Ч໓௹ູਔࡹ৫קࡎଆ,Ч໓ႋႨส০ڄགᇏྟಃॖିᄝᆜ۱Ӯඃ௹ࡗ֥ၩൈख़ᆦڱ,ၹՎ௹ಃקࡎඌ,ҕॉ໓ང[16],ѩቔೂ༯ࡌഡ:ᆦڱ֥ൈࡗSI(0,T]൞၂۱ෛࠏэਈbᅰθ௹ಃ¹൧ӆଉ҈,ࠧࢌၞٮႨູਬ,ඥ൬,ѓ֥֥ંࡎູ۬[9]:ሧӁ҂թᄝٳޣ,ࢌၞචٚ҂թᄝິჿڄགS;ºᄝື၂֥ڄགᇏྟҩ؇Q༯,ѓ֥ሧӁࡎ۬OP=EQ[exp(-Qrsds)*(SS-XS)1{SS[BS}]0৵࿃э,ڛՖࠫޅ҃ᄎSS,ࠧ=EQ[exp(-Qrsds)*(B0exp(Qrsds+zS)00dSt=Srtdt+RdWt(2)St-X0exp(Qrsds+zS))1{S0S[BS}]ఃᇏR>0սіܥקѯੱ,Wt൞၂۱ѓሙ҃ᄎb=EQ[((B0-X0)exp(zS))1{SS[BS}]=EQ[((B0-X0)exp(zS))1{S[T}]213 קࡎTᄝקࡎᆭభ,༵ࢺക༯૫ਆ۱ࡼေႨ֥֞ק=Q(B0-X0)exp(zt)dQ(S[t)(4)0[17]:ֻؽ۱֩ൔ൞ၹູѓ֥ሧӁࡎ۬৵࿃э,
#10#ᇏݓܵ॓࿐ 2010୍ڛՖࠫޅ҃ᄎbֻඹ۱֩ൔ൞ၹູ൙ࡱ{SS[ቋᇔ֤֥֞ࢲܒ߄Ӂ֥קࡎ܄ൔູ:BTS}აѓ֥ሧӁࡎ۬ᄝӮඃ௹ࡗֻ၂ՑԨࠣᅰθඣ൞֩ࡎ֥SPT=fexp(-Qrsds)+(B0-X0)[9]0,ࠧ{SS[BS}={S[T},ᆃS-R2-2z+2Rd-R2-2z-2Rd=inf{t:St[Bt,0<t[T}bB02R22R2NB0༵ࢳ*(h3(T))+N(h4(T))Q(S[t):S0S0Ⴎ(2)ൔ,০Ⴈ၈ฬႄॖ֝ԛ(11)dlnSt=(rt-R2)dt+RdWt(5)ఃᇏln(B0/S0)+RTdh3(T)=,2RTࡼ(5)ൔਆшൈᄝ[0,t]ഈקࠒٳ,ᆜ֤ln(B0/S0)-RTdth4(T)=,SRTt=S0exp(Qrsds-R2t/2+RWt)(6)0ႻၹູR22/2-zd=Rbt{St[Bt}={S0exp(Qrsds-R2t/2+RWt)03 ਲૹ؇ٳ༅t[B0exp(Qrsds+zt)}0311 ֞௹ൈࡗTS>B00={S0exp(-R2ႮႿt/2+RWt)[B0exp(zt)}={ln(S0/B0)+(-R2/2-z)t+RWt[0}Q(SS[BS)=Q(S[T)=F(T)(12)>{YఃᇏF(T)൞ࠒۀੱٳ҃ݦඔ,Ⴎࠒۀੱt[0}(7)ఃᇏYt=ln(S0/B0)+(-R2/2-z)t+RWٳ҃ݦඔ֥٤־ࡨ(no-decreasing)ྟᇉॖᆩԨࠣᅰtb۴ऌ(7)ൔބק1,֤֞ؓPt>0,Ⴕθ֥ۀੱႋھ൞֞௹ൈࡗT֥٤ࡨݦඔ,ᆃׄაն-22(R/2+z)҆ٳऎႵᅰθ௹ಃหᆘ֥SPsཌྷbQ(S[t)=NB0R2(h1(t))+N(h2(t))SؓӁ֥ࡎ۬টඪ,ႮႿ0SPT=(8)TTB0ln()+(R2/2+z)tfexp(-Qrsds)+0Q(B0-X0)exp(zt)dQ(S[t)ఃᇏS00h1(t)=,Rt(13)ln(B0/S0)-(R2/2+z)t෮ၛh2(t)=,N(#)൞ѓRt5SPTTሙۚථ࠹ٳ҃ݦඔb=-rTfexp(-rsds)+(B0-5TQ0ࡼQ(S[X0)exp(zT)Qc(S[T)(14)t)ջೆ(4)ൔᇏ,֤TTOP=Q(B0-X0)exp(zt)dN(h1(t))ཁಖ,-rTfexp(-Qrsds)ཬႿਬ,Qc(S[T)00-2(R2/2+z)B൞ٳ҃ૡ؇ݦඔܣնႿ֩Ⴟਬ,Ⴛ0<X0<B0<S0,0R2T+S0Q(B0-X0)exp(zt)dN(h2(t))(9)0ܣ(B0-X0)exp(zT)Qc(S[T)նႿ֩Ⴟਬ,ၹՎࣉ၂҄۴ऌק2,ॖ֤5SPT֥ژݼ၇ঠႿB0,X0,z,rs,f֩ఃҕඔ֥OP=5T(B0-X0)-R22-2z+2Rd-R-2z-2Rd౼ᆴ,҂ିಒקbᆃׄაն҆ٳऎႵᅰθ௹ಃหᆘB02R202R2*NB(h3(T))+N(h4(T))֥SPs္൞ཌྷ֥bႮႿӁ֥گᄖ,ྟޓ؟SPsS0S0֥ࡎ۬ෛ֞௹ൈࡗT֥ֆטྟ҂ିಒק,ೂ֣ݓ֥(10)ऎႵཟ༯ీԛหᆘֻ֥၂սۗۆӁ[8]bఃᇏln(B0/S0)+RTdh3(T)=,RT1۳ԛਔඹᇕ҂ҕඔ౼ᆴ֥Ӂࡎ۬ෛ֞௹ൈࡗTэ߄֥౷ཌ:౷ཌ1ა౷ཌ2ྙሑোln(B0/S0)-RTdh4(T)=,RTර,षࡨཬބᄹࡆ֥ږ؇Ⴕ෮ҵၳ;౷ཌ3ა౷ཌ4֥ྙሑোර,౷ཌ4षൈᄹࡆ֥ږ؇۷նd=R22/2-zRb؇۷ॹb
ֻ4௹ աݚಳ֩:ࢲܒ߄ࣁವӁ֥ቋႪഡ࠹აקࡎ#11#1 Ӂࡎ۬ა֞௹ൈࡗT֥ܱ༢(ওݼଽ၇ՑູҕඔR,z,X0,S0,B0౼ᆴ,rs=3%,f=20)312 ѯੱRཁಖՖӁקࡎ܄ൔ(11)ࢠಒקѯੱэ߄ؓӁࡎ֥۬႕ཙ,ପહՖӁหᆘটٳ༅,ႮႿӁॖٳࢳູ၂۱ਬ༏ௐᅏಊބ၂۱ᅰθ௹ಃ,ਬ༏ௐᅏಊ֥ࡎ۬აѯੱܱ,აѯੱႵܱ֥҆ٳᆺ൞ᅰθ௹ಃ֥ࡎ۬,ପહRᄹնൈ,ᅰθ௹ಃཟ༯ీೆ֥ۀੱᄀն(ཬ),ఃࡎ္۬ࣼᄀۚ(֮),ՖطӁ֥ࡎ۬ࣼᄀۚ(֮),෮ၛᆃ൮༵ٳ༅ԨࠣᅰθۀੱෛѯੱR֥э߄౦ঃb2 (a)Ԩࠣᅰθۀੱބѯੱܱ༢;Ֆ (b)Ӂࡎ۬აѯੱܱ༢(8)ൔॖुԛ,ႮႿ0<X0<B0<S0,Rᄹ(z=01015,X0=40,S0=57,B0=48,-22(R/2+z)նR2rs=3%,f=20),N(h1(T))ᄹࡆB0,ࡨཬ,൞S0N(h2(T))֥ֆטྟ҂ିಒקն,ၹՎॖၛ؎Ӂࡎ۬ބԨࠣᅰθۀੱႋھ൞,ၹՎQ(SS[BS)֥ֆטྟ၇ঠႿT,B0,S0,R,z֩ҕඔ֥౼ᆴb2B0֥٤ࡨݦඔb3۳ԛਔ҂ѯੱӁࡎ۬ބ۳ԛਔ҂֞௹ൈࡗӁࡎ۬ބԨࠣᅰθۀੱෛѯԨࠣᅰθۀੱაԚᅰθඣB0֥ܱ༢bੱRэ߄֥౷ཌՖ3(a)ॖुԛ,ඹᇕ౦ྙ༯Ԩࠣᅰθۀੱބ:Ֆ2Ӂࡎ۬൞B0֥٤ࡨݦඔ,ѩ֒ѯੱޓཬ(a)ॖुԛ,֞௹ൈࡗTᄹࡆ,۲౷ཌԨࠣᅰθۀੱෛѯੱ֥ֆטྟႵ෮э߄,ࠧՖֆט౼1%B0ཬႿ53ൈ,Ԩࠣᅰθۀੱࠫެູਬ,Վ־ᄹᇯࡶэູ༵ֆט־ࡨᄜֆט־ᄹ,ᆃׄაଖུൈӁࡎ۬࣍ර֩Ⴟਬ༏ௐᅏಊࡎ۬bऎႵᅰθ௹ಃหᆘ֥SPs҂,ೂ֣ݓֻ၂սۗۆ314 Ԛᆳྛࡎ۬X0Ӂ[8]ႮႿSPTॖၛཿӮ,ૌ๙ӈऎႵܥק֥ᅰθඣ,Ԩࠣᅰθ֥ۀੱ၂Ϯෛѯੱ֥ᄹࡆطᇯࡶᄹࡆ,൞Ч໓௹TTSPT=fexp(-Qrsds)+B00Qexp(zt)dQ(S[ಃ֥ᅰθඣෛൈࡗڿэ,ѩაၿྛࡗ൧ӆᄜವ0Tሧ০ੱބࢹվ০ҵཌྷt)-X0,ܱᆃॖି൞Ӂളҵၳ֥ჰၹbQexp(zt)dQ(S[t)(15)02(b)۳ԛਔა2(a)ᇏ۲౷ཌཌྷؓႋ֥ӁࡎႻ۬აѯੱ֥ܱ༢౷ཌ,ॖၛुԛ(b)ᇏ۲౷ཌ֥5SPTTሼ൝ა-xp(zt)dQ(5X=0QeS[t)<0(16)0(a)ᇏؓႋ౷ཌ֥ሼ൝ࠎЧ၂ᇁ,ᆃࣉ၂҄ဒᆣਔభඍ֥ٳ༅,ࠧRᄹնൈ,ᅰθ௹ಃཟ༯ీೆ֥ၹՎӁࡎ۬ᄝ0<X0<B0<S0่ࡱ༯ෛԚۀੱᄀն(ཬ),Ӂࡎ۬ࣼᄀ(֮ۚ)bᆳྛࡎ֥۬ᄹࡆطᇯࡶࢆ֮b313 ԚᅰθඣB0Ⴎ(7)ൔॖᆩ4 ࢲე,{St[Bt}={ln(S0/B0)+(-R2/2-z)t+RWtЧ໓Ֆؿྛᆀބሧᆀචٚ࢘؇ഡ࠹ਔ၂ॻऎ[0},ཁಖ֒B0ᄹࡆൈ,{St[Bt}ؿള֥ۀੱᄹႵళೆൔᅰθ௹ಃ֥ࢲܒ߄Ӂ,ھӁॉ੮ਔ
#12#ᇏݓܵ॓࿐ 2010୍ indexcertificatesofdeposit[J].JournalofFinancialServicesResearch,1990,4(2):93-110.[3].,..PricingtheSPIN[J].F-inancialManagement,1990,19:36-47.[4]BaubonisC.,GastineauG.,Purcell,D..Thebanker'sguidetoequity-linkedcertificatesofdeposit[J].TheJournalofDerivatives,1993,1(2):87-95.[5]WasserfallenW.,SchenkC..PortfolioinsuranceforthesmallinvestorinSwitzerland[J].TheJournalofDerivatives,1996,3(3):37-43.[6]BurthS.,KrausT.,WohlwendH..ThepricingofstructuredproductsintheSwissmarket[J].TheJour-nalofDerivatives,2001,9(2):30-40.[7].,WilkensS.. (a)ԨࠣᅰθۀੱބB0ܱ༢;behaviorofbanks:Ananalysisofopen-endleveragecer-(b)Ӂࡎ۬აB0ܱ༢tificatesontheGermanmarket[J].JournalofBanking(z=01035,X0=40,S0=57,T=1,rs=3%,f=20)andFinance,2009,33(5):874-882.ሧᆀაؿྛᆀ֥ྛູหᆘ,ѩࢲކਔሧЧЌބ[10]ूӔڃ,ᆢᆒ.ຓ߸ࢲܒྟթॻ֥קࡎ[J].ݓ࠽ࣁۗۆਆোӁ֥หׄb๙ݖ࠹ෘࠆ֤Ӂࡎ۬оವ࣮,2005,(5):45-49.ކࢳ[11]࿐ૹ.൬ၭა߸ੱэ߄ٓຶܫ܌֥թॻӁקࡎ,ѩؓཌྷܱҕඔࣉྛਲૹ؇ٳ༅bٳ༅ࢲݔіૼ,Ԩࠣᅰθۀੱ൞֞௹ൈࡗ[J].࠶ն࿐࿐Б(ሱಖ॓࿐ϱ),2005,33(4):550T֥٤ࡨݦඔ,აѯੱR֥ֆטྟܱ༢၇ঠႿఃҕඔ౼ᆴ,҂ିಒ-553.[12]ShefrinH.,StatmanM..Behavioralaspectsofthede-ק;Ӂࡎ۬ა֞௹ൈࡗTބѯੱR֥ֆטྟܱsignandmarketingoffinancialproducts[J].Financial༢၇ঠႿఃҕඔ౼ᆴ,҂ିಒק,ಏ൞ԚManagement,1993,22(2):123-134.ᆳྛࡎ۬X0֥־ࡨݦඔ;ቋުӁࡎ۬ބԨࠣᅰ[13]GrnbichlerA.,WohlwendH..Thevaluationofθۀੱ൞ԚᅰθඣB0֥٤ࡨݦඔbႮႿӁstructuredproducts:EmpiricalfindingsfortheSwissళೆ၂۱ห൹֥ཟ༯ీೆᅰθ௹ಃ,ၹՎਲૹ؇market[J].FinancialMarketsandPortfolioManage-ٳ༅ࢲݔაః၂ུSPsႵ၂ק֥ҵၳbment,2005,19(4):361-380.ႮႿSPs֥ࡎ۬൳֞ᇙ؟ၹ֥႕ཙ[14]..Popularityofstructuredproducts-ana-,ఃᇏ࠻ݣग़ܴၹ္Ⴕᇶܴၹbቔູࣉ၂࣮֥҄ଽnalysisofdatafromswitzerland[D].ZurichinSwiss:ಸUniversityofZurich,2008.,ॖၛࡼሧᆀބؿྛᆀྛູၹବೆӁקࡎॿࡏ,࣮ᆃᇕྛູၹؓӁקࡎ֥႕ཙb[15]HensT.,..ҕॉ໓ང[R].Swiss:SwissFinanceInstitute,2009.:[16]ᅦݓ,ḃ,ྷົफ,ᅦ༔ৡ.๋ᄁٳྙݖӱ༯[1]ᅵະ,ޅࡹૹ.ܢௐࡎ۬࿖ٳඔOrnstein-Uhlenbackൔ߸ੱ௹ಃ֥קࡎ[J].ᇏݓܵ॓࿐,2008,16(3):ݖӱ֥௹ಃקࡎଆ[J].ᇏݓܵ॓࿐,2007,15(3):-5.[17].,:Modeling,[2].,..Ananalysisofmarket-ValuationandHedging[M].Berlin:Springer,20021
ֻ4௹ աݚಳ֩:ࢲܒ߄ࣁವӁ֥ቋႪഡ࠹აקࡎ#13#OptimalDesignandPricingofStructuredFinanceProducts:fromtheperspectiveofbothissuersandinvestorsCUIHa-irong1,2,HEJian-min1,HUXiao-ping1(,SoutheastUniversity,Nanjing211189,China;,NanjingAgriculturalUniversity,Nanjing210032,China)Abstract:Accordingtorelevanttheoriesofbehavioralfinance,fromtheperspectiveofbothissuersandin-vestors,,ac-cordingtobehavioralcharacteristicofissuersandinvestors,,underthecertainassumption,,basedonthepricingformula,sensitivityanalysisforexpirationtime,volatility,initialbarrier,':structuredproducts;design;pricing;behavioralfinance
