中国国债期货与隐含择券期权定价  

Pricing the China's Treasury Bond Futures and the Implied Quality Options

作　　者：陈蓉[1] 葛骏[2] CHEN Rong GE Jun(School of Management, Xiamen University, Fujian Xiamen 361005, China Financial Markets Industrial Bank Co., Ltd., Shanghai 200041, China)

机构地区：[1]厦门大学管理学院,福建厦门361005 [2]兴业银行资金营运中心,上海200041

出　　处：《数理统计与管理》2017年第2期361-380,共20页Journal of Applied Statistics and Management

基　　金：国家自然科学基金项目(71371161;71471155);国家自然科学基金青年项目(71101121)

摘　　要：本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。A Two-Tree-Combined Black-Derman-Toy dynamic term structure of interest rates model and a cost-of-carry model which incorporated quality option are proposed to price the China Treasury Bond Futures and the implied quality option of the contract.The empirical studies on the TF1403 and T1603 contracts show that both models are reasonable and have different strengths.The pricing results of the first model are highly consistent with the trend of the market price,whereas the pricing results of the second model are closer to the market prices.

关 键 词：国债期货 择券期权 双树拼接BDT模型 

分 类 号：F832.5[经济管理—金融学] O212[理学—概率论与数理统计]