| 基于择券和择时的国债期货定价 |
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| 引用本文： | 李爽,包莹,彭程,赵延龙.基于择券和择时的国债期货定价[J].系统科学与数学,2019(3):341-352. |
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| 作者姓名： | 李爽 包莹 彭程 赵延龙 |
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| 作者单位： | 中国科学院数学与系统科学研究院系统控制重点实验室;中国科学院大学数学科学学院;中国工商银行 |
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| 基金项目： | 国家自然科学基金(61622309)资助课题 |
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| 摘 要： | 文章研究了基于择券和择时的国债期货定价问题.提出了在随机利率模型下,同时量化“择券期权”和“择时期权”的算法.通过对2015年至2017年中国国债期货市场进行实证研究,发现该算法对市值拟合度较高,并为敏感性因子计算和风险管理提供有力的支持.此外文章还分析了市场利率环境发生变化时“择券期权”和“择时期权”的特点,发现极端利率环境下.需要对“期权”价值重点关注.
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| 关 键 词： | 随机利率 择券期权 择时期权 |
Pricing of Government Bond Futures Embedded Quality Option and Timing Option |
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| LI Shuang,BAO Ying,PENG Cheng,ZHAO Yanlong.Pricing of Government Bond Futures Embedded Quality Option and Timing Option[J].Journal of Systems Science and Mathematical Sciences,2019(3):341-352. |
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| Authors: | LI Shuang BAO Ying PENG Cheng ZHAO Yanlong |
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| Institution: | (Key Laboratory of Systems and Control.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;School of Mathematical Sciences,University of Chinese Academy of Sciences,Beijing 100049;Industrial and Commercial Bank of China,Beijing 100032) |
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| Abstract: | LI Shuang;BAO Ying;PENG Cheng;ZHAO Yanlong(Key Laboratory of Systems and Control.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;School of Mathematical Sciences,University of Chinese Academy of Sciences,Beijing 100049;Industrial and Commercial Bank of China,Beijing 100032) |
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| Keywords: | Stochastic interest rate quality option timing option |
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