| 基于期权思想的封闭式基金管理费率的设计研究 |
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| 引用本文： | 王建稳,仪胜男.基于期权思想的封闭式基金管理费率的设计研究[J].数学的实践与认识,2010,40(3). |
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| 作者姓名： | 王建稳 仪胜男 |
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| 作者单位： | 北方工业大学理学院,北京,100144 |
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| 基金项目： | 金融数学科研创新平台建设(PXM2009-014212-077239) |
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| 摘 要： | 针对目前我国证券投资基金单一的管理费率结构,以封闭式基金为研究对象,根据基金投资者的需求不同提出了在不同收益率目标下的管理费率结构,并借用B-S期权定价模型,计算出封闭式基金的管理费率.
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| 关 键 词： | 封闭式基金 管理费率 B-S期权定价模型 |
Research on Management Fee Rate of Closed-end Funds under the Way of Option Pricing |
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| WANG Jian-wen,YI Sheng-nan.Research on Management Fee Rate of Closed-end Funds under the Way of Option Pricing[J].Mathematics in Practice and Theory,2010,40(3). |
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| Authors: | WANG Jian-wen YI Sheng-nan |
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| Institution: | WANG Jian-wen,YI Sheng-nan (College of Science North China University of Technology,Beijing 100144,China) |
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| Abstract: | In view of the monotonous structure of management fee rate of securities investment funds at present,this paper designs a floating management fee rate about cloeed-end funds in China according to the requirements of fund investors,and calculates the management fee rate based on B-S option pricing model. |
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| Keywords: | closed-end fund management fee rate Black-Scholes option pricing model |
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