人民币利率互换期权及其定价模型探析  

An analysis on RMB swaption and its pricing model

作　　者：张震辰[1] 

机构地区：[1]交通银行总行金融市场部

出　　处：《中国货币市场》2014年第2期40-44,共5页China Money

摘　　要：自2005年推出债券远期以来，我国银行间利率衍生品市场在交易产品创新、参与主体培育和制度建设等方面取得了较大的发展。在利率市场化改革深人推进、市场利率波动性加大的背景下，进一步推进利率衍生品创新，有利于完善产品系列，更好满足市场主体管理利率风险的需求。文章介绍了利率互换期权的作用及定价模型，以期为同业开展该产品运用及定价方式研究提供参考。Since the introduction of bond forward in 2005, China＇s interbank interest rate derivatives market has made great achievements in trading product innovation, participant development and system establishment. Against the background of further promoting interest rate marketization reform and increasing interest rate fluctuations, the innovation of interest rate derivatives is conducive to enriching the product series and to better satisfying interest rate risk management of the market entities. The article introduces the functions of swaption and its pricing model so as to provide reference to the relevant practices and research.

关 键 词：利率互换期权 定价模型 期权费 

分 类 号：F830.4[经济管理—金融学]