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RESEARCHREPORT1231234567××=DLR1≥DLR1DLR1≥DLR81DLR1DLR1DLR1DLR1DLR91011121314öãø15·161718192003-02-282003-06-302003-10-312004-02-272004-06-302004-10-292003-02-282003-06-302003-10-312004-02-272004-06-302004-10-292021···2223242526·27·28293031323334353637383940£41424344oItˆ450=tTt=r0=tTt=))(),((~)()(ln1221212ttttNtStS−−σµS46)()()(2)(1dNXedNtSctTr−−−=)()()(12)(dNtSdNXeptTr−−−=−−)(⋅NtTtTrXtSd−−++=σσ))(2())(ln(21tTdd−−=σ12SXrTσpSuSpq−=1dS470uSSuS0SdddSS=tPdWdtSdSσµ+=PWPQQdWrdtSdSσ+=dtrdWdWQP)(σµ−−=48µrσQQTtWdtrSd∆+−=σσ)2(ln2QTTWTrSS∆+−=σσ)2exp(2]|[KSSETTQTTSK)(]|[1dNSeKSSErTTTQ==−∞∫dxedNxd212121)(π]|[KSSETTQrrrTTP)(TrTPeEP⋅=−)(⋅Er49dWdtSdSσµ+=Nt∆StSSdtS∆+=∆εσµS∆t∆SεNt∆t∆2TS∆SMMTP1TP2MTP∑=−=MiiTrTPMeP115051525354···Allen,F.andD.Gale,1998,OptimalSecurityDesign,ReviewofFinancialStudies1229-263.RobertE.Whaley,N.P.B.Bollen,andT.Smith,2003,OptimalContractDesign:ForWhom?,JournalofFuturesMarkets23,719-750.DuffieDarrell,RohitRahi,1995,FinancialMarketInnovationandSecurityDesign:AnIntroduction,JournalofEconomicTheory65,1-42.JohnF.Price,1997,DerivativesandFinancialMathematics,(NovaScience,NewYork)Kumar,R.,A.Sarin,andK.Shastri,1998,Theimpactofoptionstradingonthemarketqualityoftheunderlyingsecurity:Anempiricalanalysis.JournalofFinance53,717-732.Lee,C.M.Sorescu,S.M.,2000,Theeffectofoptionson,stockprices:1973to1995,JournalofFinance55,487-514.Madan,D.,B.Soubra,B.,1991,DesignandMarketingofFinancialProducts,ReviewofFinancialStudies4,361-384.MattiasBylundAComparisonofMarginCalculationMethodsforExchangeTradedContracts(AcademicPress,SanDiego)Tufano,P.,1995,Securitiesinnovations:Ahistoricalandfunctionalperspective,JournalofAppliedCorporateFinance7,90-11.