关于利率期权定价与波动率曲面构建的思考  

On Pricing of Interest Rate Options and Construction of Volatility Surface

作　　者：高龚翔 梁威[2] 

机构地区：[1]国泰君安证券股份有限公司 [2]复旦大学

出　　处：《中国货币市场》2020年第6期21-23,共3页China Money

摘　　要：在利率期权市场发展初期,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构建方法将是促使市场机构参与交易的重要因素。文章基于远期利率满足正态分布这一假设,运用正态(Normal)模型对利率期权进行定价,并通过三次样条插值的方式,对波动率曲面进行了建模。In the early development stage of the interest rate options market,especially when facing insufficient market liquidity and trading volume,choosing a suitable pricing model and a robust volatility surface construction method will be important to encourage market participation.Based on the assumption that the forward interest rate follows normal distribution,the article uses the normal model to price interest rate options,and models the volatility surface by means of cubic spline interpolation.

关 键 词：市场流动性 波动率曲面 利率期权 三次样条插值 正态分布 远期利率 交易量 构建方法 

分 类 号：F832.6[经济管理—金融学] F224