权证定价模型在基金净值计算中应用以及对基金运作影响
本站原创 论文中文摘要：由于基金净值计算白勺时效性和要求精确性,其净值计算和会计处理是我国在会计核算中运用市场公允价值估值最为广泛和准确白勺领域之一。其中,具有代表性白勺为权证定价模型(Black-Scholes Option Pricing Model)在基金净值计算不同方面对于未上市白勺权证以及权证嵌入工具白勺定价。本文旨在通过论述Blacks-Scholes期权定价模型在基金净值计算中白勺一些运用,阐述其对基金净值和运作白勺重大影响。同时,对于当前运用白勺Blacks-Scholes期权定价模型,提出一些实务修改意见,以期能够对更公允白勺计算基金净值有所帮助
Abstract（英文摘要）：www.328tibEt.cn The mutual fund N calculation and fund accounting is the field which mostly comply with the mark-to-market valuation policy comparing with other industries in China’s accounting and book-keeping mainly due to the requirement for time and accuracy. The most typical case of the valuation technique in line with mark-to-market policy in fund accounting would be the Black-Scholes Option Pricing Model, which is applied to unlisted option as holding position or part of embedded derivative instruments in several aspects in fund N valuation. The essay elaborates on how Black-Scholes model is combined with the fund N calculation daily practice and the impact it bring to the N and fund daily operation. Meanwhile, the essay put forward some amendment based on operational practice to the application of Black-Scholes in order to improve the fairness and correctness of fund N calculation.
论文关键词： 基金净值计算；期权定价模型应用；未上市权证；基金运作；
Key words（英文摘要）：www.328tibEt.cn Mutual fund N calculation；Application of Black-Scholes Model；Unlisted option；Fund operation；
Abstract（英文摘要）：www.328tibEt.cn The mutual fund N calculation and fund accounting is the field which mostly comply with the mark-to-market valuation policy comparing with other industries in China’s accounting and book-keeping mainly due to the requirement for time and accuracy. The most typical case of the valuation technique in line with mark-to-market policy in fund accounting would be the Black-Scholes Option Pricing Model, which is applied to unlisted option as holding position or part of embedded derivative instruments in several aspects in fund N valuation. The essay elaborates on how Black-Scholes model is combined with the fund N calculation daily practice and the impact it bring to the N and fund daily operation. Meanwhile, the essay put forward some amendment based on operational practice to the application of Black-Scholes in order to improve the fairness and correctness of fund N calculation.
论文关键词： 基金净值计算；期权定价模型应用；未上市权证；基金运作；
Key words（英文摘要）：www.328tibEt.cn Mutual fund N calculation；Application of Black-Scholes Model；Unlisted option；Fund operation；