CAJ | 학술논문

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。
본문이심남전여고성첨정적전기기권위례，실증분석료복잡연생품합약정개시부공평。수선비교료궤하포랑운동화OU과정적사연함수치，결과표명OU과정경괄합묘술유개적주세，진일보채용몽특잡락모의법대전기기권진행료정개。정개결과표명：대우투자은행이언，제일빈합약존재소액우손，단제이빈합약적영리원고우제일빈합약적우손，정개전기합약시영리적，투자은행옹유제이빈합약전기적권리시기영리적관건。본문결론암시투자은행가이이용비전업투자자정개지식적궤핍，설계복잡연생품병통과불공평정개래모리，문장최후종기업적각도화감관자적각도제출료정책건의。
We empirically investigate whether the complex derivatives pricing is fair or not by taking the extend- ible option contract signed by Shennandian and Goldman Sachs for example. First we compare the likelihood of geometric Brownian process and Ornstein - Uhlenbeck process and find that Ornstein - Uhlenbeck process is more suitable to describe the oil price dynamics. And the pricing of extendible option contract by Monte Carlo simulation shows investment bank is subject to a small loss in the first contract and a big gain in the second con- tract of the option, and overall the investment bank gains significantly. The right to extend the second contract is the key profit source of investment bank. Our findings imply that investment banks could take advantage of their professional knowledge to exploit the less experienced investors by designing complex derivatives and pri- cing unfairly. We then propose some policy recommendation from the angles of enterprises and market regulators based on our findings.