用B-S期权定价模型评估存款保险的价格  

Evaluation the Price of Deposit Insurance through B-S Option Pricing Model

作　　者：彭斌[1] 韩玉启[1] 

机构地区：[1]南京理工大学经济管理学院,南京210094

出　　处：《价值工程》2005年第2期126-128,共3页Value Engineering

基　　金：国家自然基金资助项目(79970115)

摘　　要：存款保险定价是存款保险制度建设中的核心内容,保险定价效率直接影响制度的功效。碍于现金流贴现估价模型的局限性,本文从期权的角度阐述了存款保险的期权特性,指出存款保险合同实质上就是一份看跌期权,从理论和实证两方面论述了如何运用B-S期权定价模型确定存款保险价格的问题,对实践中存款保险的合理定价和制度建设具有重要的指导意义。Deposit insurance pricing is the key content of the deposit insurance system. Its efficiency directly has an impact on system effectiveness. In this article, we clarified the option characteristics of deposit insurance from the option's view of point and on this groundwork ,we indicated that deposit insurance contract is substantively a put option. In addition, we further dissertate how to apply the B-S option pricing model to the evaluation of deposit insurance price from two sides of the theory and the demonstration, which can be the direct sense for the justified conformation of deposit insurance price and construction of deposit insurance system.

关 键 词：存款保险 期权定价模型 价格 保险定价 看跌期权 现金流贴现 估价模型 合理定价 核心内容 建设 

分 类 号：F830[经济管理—金融学] F840