Study On Modifing The Pricing Model Of Equity Long/Short Hedge Fund

With the globalization and excessive flowability in recent years,hedge fund has developed rapidly,and investment fields restrict not only in the tradition capital market,but also relate to all currency,bond,derivatives,commodity and finance future market.So learning and studing hedge fund which is a kind of private investment organization,especially the pattern and return condition,which are just the hedge fund price problem,has important significance for development of chinese financial market and the institutional investor.And at present,the research to this part is always the focal point that academic circles study,also difficult point,on the basis of this the paper studies the price of equity long/short hedge fund.The paper firstly analysizes the investment strategies of hedge fund,and puts forward two price ideas according to the particularity of strategies.Speaking in detail,for static state pricing model,on the basis of the particularity and complexity of equity long/short hedge fund,the strategy is looked as the compound tactics of two kinds of strategies.And by pricing the single strategy,the compound tactics of two kinds of strategies can be priced.The static state pricing model must base on the known operation gimmick,but because the hedge fund is a private organization, which is not public,so it is difficult for us to price the hedge fund by static state pricing model on the condition of little information.In order to solve this problem, the paper studies the pricing problem from another aspect,which is dynamic price model,and this price model does not care about the known operation way,only focuses on the return and risk characteristic property of the equity long/short hedge fund.The dynamic price model is the focus of this paper.The main idea is as following:firstly selecting three assets and their distribution function,the paper selects stock or the portfolio of stock and bond,future and the hedge fund.On the basis of knowing the three assets distribution functions,the paper constructs a bridging function of stock or the portfolio of stock and bond and future by copula function,and comes to fit with the return and risk characteristic property of the equity long/short hedge fund by a dynamic trading strategy,and finally prices the dynamic trading strategies by an improved B-S binary call-option price formula under considering the trading cost and achieves the assets collocation,then accomplishes the pricing of equity long/short hedge fund.The paper discusses the application of the two price model in our security market finally.In the end the paper concludes the whole paper and puts forward the future development of hedge fund in china.