發(fā)布時間：2018-03-01 06:11

  本文關(guān)鍵詞： 國債期貨 擇券期權(quán) 雙樹拼接BDT模型　出處：《數(shù)理統(tǒng)計(jì)與管理》2017年02期 　論文類型：期刊論文

【摘要】：本文提出了一種雙樹拼接的改進(jìn)BDT模型,在此基礎(chǔ)上發(fā)展出兩種方法為中國市場上的國債期貨和擇券期權(quán)定價。其中"直接定價法"直接使用雙樹拼接樹圖,"兩步定價法"則是經(jīng)期權(quán)調(diào)整的持有成本模型。對中國TF1403和T1603國債期貨合約的實(shí)證研究表明,兩種方法都是合理的,且各有優(yōu)勢,"兩步定價法"與市場價格差異較小,"直接定價法"與市場價格同步性較高。
[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.
【作者單位】： 廈門大學(xué)管理學(xué)院;興業(yè)銀行資金營運(yùn)中心;
【基金】：國家自然科學(xué)基金項(xiàng)目(71371161,71471155);國家自然科學(xué)基金青年項(xiàng)目(71101121)
【分類號】：F812.5;F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 鄭振龍;林t，

本文編號：1550734