存贷款利率隐含期权定价的蒙特卡罗模拟及其改进  

Monte Carlo Simulation Methods for Pricing Options Embedded in Deposit & Loan and Its Application

作　　者：刘凤琴[1] 马俊海[2] 戈晓菲[2] 

机构地区：[1]浙江财经学院信息学院,浙江杭州310018 [2]浙江财经学院金融学院,浙江杭州310018

出　　处：《财经论丛》2010年第2期64-70,共7页Collected Essays on Finance and Economics

基　　金：国家自然科学基金资助项目(70571068);教育部人文社科基金资助项目(09YJA790179)

摘　　要：银行存贷款合约隐含的可提前偿还条件具有很强的期权性,用期权定价方法对其进行研究分析是一个重要的手段。本文首先在隐含期权标的利率特性分析的基础上,建立了符合利率运动规律的跳跃扩散模型;其次用期权定价的蒙特卡罗模拟方法对包含在可提前偿付存贷款合约中的隐含期权问题进行研究;最后引进对偶变量方差减少技术,并以实证数据说明了其有效性。研究结论认为,基于诸如对偶变量等方差减少技术的蒙特卡罗模拟改进方法是解决银行存贷款隐含期权定价问题的一种有效途径。Deposits and loan can be regarded as options because they contain conditions that can be paid in advance. Therefore, it is an important trend to pricing them with option pricing method. In the paper, fLrst jump-diffusion models are established to iUustrate the random movement of interest rate. Second, we study the embedded option in the deposit and loan with Monte Carlo method. Finally, according to the shortcomings of the traditional Monte Carlo simulation, we introduce variance reduction technique to improve it, and use empirical data to test its effectiveness. The conclusion is that it will be very effective for Monte Carlo simulation based on variance reduction techniques, such as antithesis variable to pricing warrants.

关 键 词：跳跃扩散模型 隐含期权 蒙特卡罗模拟 对偶变量技术 

分 类 号：F830.48[经济管理—金融学]