浅谈人民币利率期权定价与波动率曲面构建  

A Brief Discussion on the Pricing of Interest Rate Options and the Construction of Volatility Surface

作　　者：南晓节 刁倩 

机构地区：[1]杭州衡泰软件有限公司 [2]中国经济信息社

出　　处：《中国货币市场》2019年第2期60-66,共7页China Money

摘　　要：随着我国利率市场化进程的不断深入,银行间对人民币利率期权的需求日益彰显。相比于国内利率衍生品市场现存的产品,利率期权的定价存在一定的挑战性。在市场推动初期,尤其是市场流动性和交易量不足的情况下,如何选择合适的利率期权定价模型和稳健的波动率曲面(立方)构建方法将是促使市场机构参与交易的重要因素。With the advancing of China's interest rate marketization,the demand for RMB interest rate options is increasing in the interbank market.Compared with the existing interest rate derivative products,the pricing of interest rate options is challenging.In the early stage of market development,particularly with the insufficient market liquidity and trading volume,choosing an appropriate pricing model for interest rate options and a robust construction method for the volatility surface(cube)will be important in promoting market institutions to participate in the trading.

关 键 词：期权定价模型 人民币利率 波动率 曲面 利率期权 市场化进程 衍生品市场 市场流动性 

分 类 号：F830.91[经济管理—金融学]