CAJ | 학술논문

人民币外汇期权市场在逐步发展当中，针对其定价水平的分析研究方兴未艾。从构造两种不同的套利组合出发，对两个期限不同在值水平的人民币外汇期权进行了套利分析，发现：人民币外汇期权市场定价偏高，长期限期权定价更高。对此分析了其中原因，并给出了相应的政策建议。
인민폐외회기권시장재축보발전당중，침대기정개수평적분석연구방흥미애。종구조량충불동적투리조합출발，대량개기한불동재치수평적인민폐외회기권진행료투리분석，발현：인민폐외회기권시장정개편고，장기한기권정개경고。대차분석료기중원인，병급출료상응적정책건의。
As the RMB FX option market developed, people start to study this market’s pricing effi-ciency. Through executing the traditional BS arbitrage and SLSG strategy, we found generous arbitrage opportunities in this market. These results states that:RMB FX options are priced higher than its true value, and longer tenor options priced much higher. We attribute this to several reasons and give our policy recommendations.