中国国债期货与隐含择券期权定价

发布时间：2018-03-01 06:11

本文关键词： 国债期货择券期权双树拼接BDT模型　出处：《数理统计与管理》2017年02期 　论文类型：期刊论文

【摘要】：本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。
[Abstract]:In this paper, an improved BDT model of double tree splicing is proposed. On the basis of this, two methods are developed for pricing treasury bond futures and bond options in Chinese market, in which "direct pricing method" directly uses double-tree splicing tree graph, "two-step pricing method" is the holding cost module adjusted by option "direct pricing method" directly uses double-tree splicing tree graph, and "two-step pricing method" is the mode of holding cost adjusted by option. An empirical study of China's TF1403 and T1603 treasury bond futures contracts shows that. The two methods are both reasonable and have their own advantages. The "two-step pricing method" has little difference from the market price, and the "direct pricing method" has a high synchronism with the market price.
【作者单位】：厦门大学管理学院;兴业银行资金营运中心;
【基金】：国家自然科学基金项目(71371161,71471155);国家自然科学基金青年项目(71101121)
【分类号】：F812.5;F724.5

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