分级基金的隐含期权分析

摘要

分级基金通过对基金份额的结构化分级,形成不同收益分配的多级子份额.分级基金的结构化设计体现了该投资产品中隐含的期权特性,期权组合可以用来拟合分级基金中优先类与杠杆类份额的收益函数.因此,分级基金中各级子份额具有隐含的期权价值.对分级基金期权价值的研究将有助于我们探索期权产品及其定价.%Split capital investment fund has its asset divided into multiple types of share, offering different distribution of revenue. Structural fund is designed to materialize its property of option, with which combine the split structure. Option portfolio can be used to model the revenue function of prior or geared share of the fund. Therefore, different share of split capital investment fund has respective value of option. Study of the option underlying the split capital investment fund will be useful for exploring the option products and option pricing.