生猪价格指数保险合约的二叉树定价方法  

A Binomial-tree Model for Pricing the Pig Price Index Insurance Contracts

作　　者：岑仲迪[1] CEN Zhong-di(Zhejiang Wanli University,Zhejiang,Ningbo 315100)

机构地区：[1]浙江万里学院,浙江宁波315100

出　　处：《浙江万里学院学报》2018年第5期21-24,共4页Journal of Zhejiang Wanli University

基　　金：浙江省哲学社会科学规划课题(15NDJC243YB)

摘　　要：文章基于生猪价格指数保险的特性分析,将其看作以猪粮价格比为标的资产的欧式复合看跌期权;应用二叉树期权定价模型,结合国家发改委发布的猪粮价格比数据和具体生猪价格指数保险合约的赔偿条款,对生猪价格指数保险合约进行了定价分析,获得了更加直观易懂的定价方法。In this paper,the pig price index insurance was regarded as a European compound put option with the price ratio between pig and corn as the underlying asset.A binomial-tree model was used to price the pig price index insurance,combined with the price ratio between pig and corn released by the National Development and Reform Commission and the clauses of the contract.This method was a more intuitive and easy than the historical loss probability model.

关 键 词：生猪价格指数 期权 二叉树模型 波动率 

分 类 号：F323.7[经济管理—产业经济]