我国定期存贷款利率期权隐含波动率研究  

Research on the implied volatilities of options for deposit and lending interest rates in China

作　　者：叶志强[1,2] 陈习定[2] 张顺明[3] 

机构地区：[1]华东理工大学商学院,上海200237 [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

出　　处：《管理科学学报》2011年第9期67-76,共10页Journal of Management Sciences in China

基　　金：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Tian[1]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年期定期存贷款利率的隐含波动率.研究结果表明我国当前银行存贷款利率存在上涨压力.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 method.Finally we work out the implied volatilities of five-year deposit and lending interest rates.Our results show that there exists a upward pressure in the interest rates of deposit and lending of China＇s banks.

关 键 词：存贷款利率 隐含期权 无模型 隐含波动率 

分 类 号：F830[经济管理—金融学]