|
|||||
|
|
| 我国定期存贷款利率期权隐含波动率研究 | |
| 引用本文： | 叶志强,陈习定,张顺明.我国定期存贷款利率期权隐含波动率研究[J].管理科学学报,2011,14(9):67-76. |
| 作者姓名： | 叶志强 陈习定 张顺明 |
| 作者单位： | 1. 华东理工大学商学院,上海200237;厦门大学经济学院,厦门361005 2. 厦门大学经济学院,厦门,361005 3. 中国人民大学财政金融学院,北京,100872 |
| 基金项目： | 国家社会科学基金重点资助项目(07AJL002); 国家杰出青年科学基金资助项目(70825003) |
| 摘 要： | 拓展Jiang和Tian1]模型获得了看涨看跌期权的无模型隐含波动率的理论表达式.并对理论表达式做了进一步处理,获得满足实际应用需要的计算表达式.根据无套利原理,由当前商业银行不同期限存贷款利率构造出不同执行价的看涨和看跌期权,再运用3次曲线拟合的方法,获得满足实际应用需要的一系列看涨和看跌期权；最后计算得到5年期定... |
| 关 键 词： | 存贷款利率 隐含期权 无模型 隐含波动率 |
Research on the implied volatilities of options for deposit and lending interest rates in China |
|
| YE Zhi-qiang,CHEN Xi-ding,ZHANG Shun-ming.Research on the implied volatilities of options for deposit and lending interest rates in China[J].Journal of Management Sciences in China,2011,14(9):67-76. | |
| Authors: | YE Zhi-qiang CHEN Xi-ding ZHANG Shun-ming |
| Institution: | YE Zhi-qiang(1,2),CHEN Xi-ding2,ZHANG Shun-ming3 1.School of Business,East China University of Science and Technology,Shanghai 200237,China,2.School of Economics,Xiamen University,Xiamen 361005,3.School of Finance,Renmin University of China,Beijing 100872 |
| Abstract: | This paper extend Jiang and Tian(2005) model to the setting for put options,and obtain the expressions of the model-free implied volatility of call options and put option.And we further transform the theoretical expressions to those which meet practical application needs.According to no-arbitrage principle,we construct calls and puts with different strike prices using the deposit and lending interest rates with various maturities and then we acquire a series of calls and puts through cubic curve fitting met... |
| Keywords: | deposit and lending interest rates implied option model-free implied volatility |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |
| 点击此处可从《管理科学学报》浏览原始摘要信息 | |
| 点击此处可从《管理科学学报》下载免费的PDF全文 | |