| Broad-based classification fund is also called index classification fund,its parent fund generally takes a certain stock index as the investment target,such as Shanghai or Shenzhen index,GEM index,SME index and so on.With the continuous improvement of financial innovation level in China,broad-based classification fund has gradually become an important part of the fund market.Although the classification fund has been a relatively mature product in the international scope,it has a short development time in China.Under the domestic financial background,how to help investors choose appropriate valuation methods and successful arbitrage has certain research value and significance.However,it is difficult to formulate and implement arbitrage strategy because of the complicated terms design of broad-based classification fund.Based on this,this thesis studies the valuation and arbitrage of the broad-based classification fund in order to let investors understand the broad-based classification fund more comprehensively and actively participate in investment.In order to determine the effect of Black-Scholes option pricing model and Monte Carlo simulation method on fund valuation,79 broad-based classification funds are selected as research samples,and the Stata normality test and Skest test are used in this thesis.The R software and Matlab are used to draw the price simulation diagram of 9 funds which passed the test.The pairing arbitrage model of broad-based classification fund is constructed,21 sample funds are selected to analyze the effect of two arbitrage strategies: split and merge.From the point of view of investors,this thesis combines theory with practice to make investors have a comprehensive and clear understanding of broad-based classification fund.At the same time,combined with empirical data,it demonstrates the valuation effect and arbitrage strategy implementation under different methods.A reference for investors is provided when making investment decisions. |
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