作者：&作者本人请参看导师姓名：&学位授予单位：&授予学位：硕士学位年度：2009专业：&关键词：&&&&&摘要:（摘要内容经过系统自动伪原创处理以避免复制，下载原文正常，内容请直接查看目录。）关闭式基金的折价景象,也就是关闭式基金二级市场生意业务价钱低于其单元净值的景象。关闭式基金折价广泛存在于列国市场,包含欧美蓬勃市场,也包含中国,印度等成长中的证券市场,而且成了列国经济金融界研讨的热门成绩,被称为“关闭式基金折价之谜”。在我国,关闭式基金折价的景象绝对欧美蓬勃市场较为严重,而且我国关闭式基金的成长近况不容悲观,关闭式基金的成长与生计正堕入窘境。若何对待关闭式基金折价的成绩,成为投资者异常存眷的成绩之一,同样成为往后关闭式基金成长的主要成绩。所以深刻商量我国关闭式基金折价的缘由,并为我国关闭式基金的成长提出建议具有主要的实际和实际意义。本文在梳理相干文献的基本上,总结了之前文献的不雅点和优缺陷,联合自己所学金融工程专业的思惟,发明性的提出用期权的思惟说明关闭式基金折价的思绪。文中实证拔取现存全体28支关闭式基金至刊行以来的全体数据停止剖析,以包管数据的完整,并包管实证成果关于实际具有较强的指点意义。本文在数据处置方面,应用EXCEL内嵌VBA编程,完成蒙特卡洛模仿办法以模仿我国关闭式基金隐含的期权价钱和盈余分派,从而得出实证结论。由实证成果可以看出：(1)模子分化出的期权可以或许较好的说明我国关闭式基金折价的缘由。(2)关闭式基金的分红关于其折价简直没有影响。并给出立异关闭式基金运作形式的建议,为我国关闭式基金的成长供给了一条新的思绪。本文的研讨进程中获得了一些立异。起首,在研讨思绪方面,本文从期权的订价角度测验考试说明关闭式基金折价的缘由,这在国际外的相干文献中触及较少,思绪较为新鲜,和早年的文献分歧的是本文重要应用实证的研讨手腕,用数听说话,为文章的不雅点起到了比拟无力的证实。其次,在实证方面,本文彩用年夜样天职析,拔取了现存一切传统关闭式基金从刊行至今的一切数据停止整顿,测验考试以较长的时光跨度和较多的样本数据尽可能得出绝对有指点价值的实证成果。实证对象拔取的是蒙特卡洛模仿,这在曩昔关于关闭式基金的实证研讨中简直没有触及,相干文献也只要顾娟(2005),在这篇文献中,作者结构了对我国关闭式基金折价率特征停止磨练的模子和办法,并初次从期权的角度对持有关闭式基金停止了订价研讨。联合我国和国外关闭式基金的异同,顾娟提出了新投资的战略,因为我国投资人没有充足熟悉到关闭式基金所隐含期权价值所带来的投资价值,关闭式基金市场存在无风险的套利空间。然则顾娟(2005)没有从期权的角度对关闭式基金折价停止说明,而且她将到期收益停止折现的数据处置办法,自己不是很认同。所以用期权的思惟说明关闭式基金折价也是本文的一个立异点。最初,在政策建议方面,本文立异性的提出建议引进新的基金治理公司,即许可年夜型企业的财政公司组建基金治理公司的思惟：起首,树立基金投资人与基金治理人新型的好处关系；以后,提出关闭与开放互动,掌握市场价钱折率；第三,费用计提与事迹挂钩,同一基金治理人和投资人的存眷点；最初,树立基金可扩大轨制,统筹投资人和治理人两边的好处。在提出建议以后,本文还针对建议,详细从资金实力强的企业有经济实力并存在这方面的投资热忱；母公司蒙受的基金赎回压力不年夜；投资人轻易接收；投资人赎回对股票市场或本钱市场价钱根本没有影响等四个方面停止了详细剖析,解释了建议的可行性和感化,为我国关闭式基金的成长给出了新的建议和看法。本文共分为五个部门,以章节为标记,相干内容以下：第1章媒介。本部门周全论述了论文的选题配景及意义,研讨内容,研讨思绪与办法和本文的立异尽力等基本成绩,对我国关闭式基金停止了需要的引见息争释,并对我国关闭式基金的成长近况停止了剖析,发明我国关闭式基金近况不容悲观,乃至到了寸步难行的地步,关闭式基金何去何从,若何成长,是跟着封转开一个个消亡,照样从新复兴,在我国本钱市场从新占领一席之地,我国关闭式基金正处在汗青的分岔口。这为前面睁开相干研讨供给铺垫。第2章文献综述。本部门周全整顿了关闭式基金折价的各类经典实际,经由过程剖析其研讨思绪,测验考试着理清各类实际不雅点的重要内在,做出的进献及存在的成绩。更主要的是对这关闭式基金折价的相干实际的成长和演进头绪做出梳理。同时,卖力研讨国际外经典文章,懂得各类思绪的特色和缺乏,为提出关闭式基金折价的期权说明做好铺垫。第3章关闭式基金的特征与我国关闭式基金近况。本部门详细引见了关闭式基金的特征和我国关闭式基金的成长近况,将关闭式基金与开放式基金停止比较,而且以我国现有28支传统关闭式基金从刊行至今的一切数据停止实证剖析,得出了我国关闭式基金的折价特色：起首,我国关闭式基金在刊行之初年夜都处于溢价状况,均匀来看,我国沪深两市关闭式基金上市第一周末的溢价为21%阁下。其次,跟着时光的推移,生意业务价钱逐步趋势于基金的资产净值,终究涌现折价生意业务景象。最初,因为我国关闭式基金成长时光绝对欧美蓬勃国度较短,市场也不敷成数,使得折价率的动摇与净值不成固定比率。厥后对我国关闭式基金折价动摇不与基金的资产净值成固定比例缘由停止了进一步剖析。第4章关闭式基金的期权说明。本部门为全文焦点部门的开端,本部门应用期权的思惟将关闭式基金分化为了一个欧式看涨期权的多头和一个雷同履行价钱雷同标的资产的欧式看跌期权的空头的组合,应用期权的平价关系经由过程数学变换得出了期权的价值与关闭式基金折价的关系,为以后进一步的研讨供给了最基本的基本。第5章蒙特卡洛模仿为期权订价。本部门为全文最焦点部门,本部门应用蒙特卡洛模仿为对象,EXCEL软件为载体,为关闭式基金净值拔取恰当的随机进程从而停止模仿。起首盘算出关闭式基金单元净值的年化动摇率,从而模仿出关闭式基金到期日的单元净值NAVT,从而得出关闭式基金隐含两个期权的价值；第二步模仿出关闭式基金在每一个分红时辰的单元净值一求出盈余。获得期权价值和盈余现值后,与关闭式基金折价近况停止比拟。第6章结论与建议。本部门对全文的重要不雅点和实证成果做出概述,。在总结研讨结论的基本上,对我国关闭式基金成长成绩提出了响应的改良办法,个中立异性的提出了引进新的基金治理公司,即许可年夜型企业的财政公司组建基金治理公司,由年夜型企业作为基会治理公司的母公司,先投资必定比例资金,作为关闭式基金刊行的折价资金垫付,构成基金治理公司按这一折价比例经由过程证券生意业务所折价刊行关闭式基金的立异治理形式。Abstract:Closed end fund discount phenomenon, which is the two level of the fund's market closed lower than the price of the unit's net worth. Closed end fund discounts are widespread in the markets of the countries, including Europe and the United States market, also includes China, India and other growth in the securities market, and has become a hot research in the economic and financial circles of the world, known as the "close type fund discount puzzle". In our country, the phenomenon of the discount fund discount is more serious in Europe and the United States, and the growth of China's closed end fund is not pessimistic, the growth of the closed end fund is falling into a dilemma. How to deal with the results of the closed end fund discount, as investors are concerned about the abnormal performance, the same as the key to the future development of closed down funds. So it is very important to discuss the reasons for the discount of the closed end fund in China, and to put forward suggestions for the development of China's closed end fund. In this paper, the paper summarizes the relevant literature, summarized the previous literature and the advantages and disadvantages, the combination of their own financial engineering professional ideas, the paper puts forward the idea of the option of the idea of the closed end fund discount. The empirical, select the existing all 28 since the closed funds to publish all the data to carry on the analysis, to ensure data integrity, and ensure that the empirical results about actually has a strong guiding significance. In the data processing, the application of EXCEL embedded VBA programming, the Monte Carlo simulation method to imitate the closed end funds in China, the implicit option price and earnings distribution, so that the empirical conclusions. From the empirical results can be seen: (1) the option can be a good differentiation of the type of the closed end fund discount. (2) there is no effect on the discount of the close type fund. The operation of the fund and closed form of the proposed innovation, supply a new train of thought for China's closed end fund growth. Get some innovation in the process of this research. Chapeau, in terms of research ideas, this paper from the option pricing angle test that close end fund discount the reason, this at home and abroad and relevant literature involving less, the mind is fresh, and early literature differences is the important application of empirical studies of the wrist, to use data to speak, the indecent point to relatively weak confirmed. Secondly, in the empirical analysis, the color of the eve of the sample analysis, select the all existing traditional closed type fund from print and publish date all the data to stop production for rectification, test with longer time span and more sample data as far as possible that absolutely guidance values of the empirical results. Empirical object choice is Monte Carlo simulation, which in the past on close type fund research almost is not involved in the and related literatures also if gujuan (2005). In this paper, the structure of our country close fund discount rate characteristics of training model and method, and for the first time from the angle of the option to the closed fund stopped pricing research. The similarities and differences between the United Nations and the closed end fund, Gu Juan put forward the new investment strategy, because China's investors do not have sufficient knowledge of the investment value of the closed end fund, the closed end fund market there is no risk arbitrage space. But Gu Juan (2005) did not stop the discount from the perspective of the option of the closed end fund discount, and she will be the end of the proceeds of the discount data disposal approach, not very much agree with. So use the option thinking that a new closed fund discount is the. Initially, this paper proposed the introduction of the new fund management companies, namely, the approval of the company's financial companies set up a fund management company's ideas: first, establish a new type of fund investors and fund managers, after the opening and closing of the market third, the expense of the same fund managers and investors pay close attention points. In the proposed suggestions, the paper also gives suggestions on the strength of the financial strength of the enterprise with the economic strength and the existence of the investment enthusiasm, the parent company suffered from the fund redemption inve investors redeemed on the stock market or capital market price has no effect on the four aspects of the feasibility and probation, for the growth of China's closed down new suggestions and views. This article is divided into five parts, the chapter is the mark, the relevant content is as follows: the first chapter media. The Department comprehensively expounded the background and significance of choosing the topic, research content, research ideas and methods and the innovation efforts, etc to the basic performance, to our country closed funds to stop the introduction of release and to our country closed fund the development status of analysis, inventions of China closed fund situation is not optimistic, even to the point of unable to move, close type fund go, how growth is followed Feng Zhuankai one die, still from the new revival, in my目录:中文摘要4-8Abstract81. 前言11-17&&&&1.1 研究背景与意义11-15&&&&1.2 本文的创新与局限15-172. 文献综述17-24&&&&2.1 国外对封闭式基金折价的研究17-21&&&&2.2 国内对封闭式基金折价的研究21-22&&&&2.3 小结22-243. 我国封闭式基金折价现状研究24-29&&&&3.1 我国封闭式基金整体折价现状24-25&&&&3.2 选取单只基金进行进一步分析25-26&&&&3.3 小结26-294. 封闭式基金的期权解释29-35&&&&4.1 期权简介29-30&&&&4.2 封闭式基金的期权分解30-33&&&&4.3 小结33-355. 蒙特卡洛模拟为期权定价35-46&&&&5.1 蒙特卡洛模拟的原理35-37&&&&5.2 蒙特卡洛方法的具体步骤37&&&&5.3 实证分析过程37-44&&&&5.4 小结44-466. 结论与建议46-51&&&&6.1 研究结论46-47&&&&6.2 政策建议47-51附录51-53参考文献53-55后记55-56致谢56-57在读期间科研成果目录57原价：￥20.00元折价：￥5.00元分享到：相关文献|合作账号登陆
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　　现在，听到有如此难搞的雇sungame线 上 娱 乐主，她不忧反喜，因为这代表著另一次的挑战。令他是下意蒙 特 卡 罗 在 线 赌 场识地瑟缩了下。。一次W茗偷偷塞给他几本传奇志怪。唐卡的情绪有点焦躁。但纯静并不关心这些，她的心思根本就不在这里。“子暮，你终于醒了，吓死妈妈了。车上的空气似乎都凝结了。
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