THE RESEARCH OF PRICING METHOD OF SECURITIES LOAN RATES BASING ON THE OPTIONS THEORY

Abstract

Abstract: Securities lending and securities financing transaction is a trading system in mature securities markets.Similar to financing, services provided by the securities lending is also a kind of lending services.What the difference is the target, the securities lending target is securities but not funds. Since it is a service provided by brokerages,charges should be concerned which is the securities lending rate. So how to calculate the securities lending rates? This paper draws on the experience of Taiwan, and calculate the practical securities lending rates in the mainland of China.

Key words: financing and securities lending, securities lending rates, option pricing

摘要： 证券融资融券交易是成熟证券市场普遍实施的一种交易制度。融券与融资不同,其标的不是资金而是证券,但两者都是信用业务,需要为相关交易支付一定的费用,融资的利率相对容易确定,而融券费率则比较复杂一些,目前各类管理规定中对此并没有明确的说法。本文借鉴了我国台湾地区的经验,计算出我国大陆地区试行融资融券可行的融券费率。

关键词: 融资融券, 融券费率, 期权定价

CLC Number:

F830.91

XU Jia-gen, WANG Hui, SONG Zhi-wen. THE RESEARCH OF PRICING METHOD OF SECURITIES LOAN RATES BASING ON THE OPTIONS THEORY[J]. Economic Theory and Business Management, 2010, (1): 52-57.

徐加根, 王辉, 宋之文. 基于期权思想的融券费率定价方法研究[J]. 经济理论与经济管理, 2010, (1): 52-57.

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