存款保险的期权定价模型构造及实证研究  

The Composition of Option Pricing Model for Deposit Insurance

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,江苏南京210094

出　　处：《商业研究》2005年第22期8-10,共3页Commercial Research

基　　金：国家自然基金资助项目;项目编号: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,从期权的角度阐述了存款保险与期权的关系,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Black-Schole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 tile key content of the deposit insurance system. Its efficiency has a direct impact on system effectiveness. This paper clarifies the relationship between option and deposit insurance from the perspeetive of option, It holds that deposit insurance contract is substantively a put option, In addition, it further dissertates how to apply the Black - Seholes option pricing model to the evaluation of deposit insurance price in - terms of the theory and practice. Tiffs is significant to the justified eonformation of deposit insurance price and the construction of deposit insurance system.

关 键 词：存款保险 看跌期权 期权定价模型 

分 类 号：F840.32[经济管理—保险] F224.9