利率风险与或有权益定价

应用无差异方法研究不完全市场中或有权益的保值和定价问题,并证明了或有权益的价格不仅依赖于或有权益的不可复制部分,而且受利率风险的影响．在最优保值意义下利率风险分解为可控风险和不可控风险．利率的可控风险与资本市场波动有关,可通过套期保值方法避免,可能产生正、零或负的期望收益．利率的不可控风险与资本市场波动无关,无法对冲,而且带来正的期望收益．利率风险的分解有助于更准确地解释或有权益的价格-它受利率的不可控风险影响,而与可控风险无关．当利率的不可控收益与或有权益的不可复制部分正(负)相关时,或有权益的不可复制部分的风险越大导致或有权益的价格越高(低)．

Interest Rate Risk and Contingent Claim Pricing

The aim of this paper is to address contingent claim hedging and pricing in an incomplete market using an indifference argument.We prove that the price of contingent claims not only rely on its non-hedgeable part,but also on interest rate risk.The interest rate risk is divided to controllable risk and uncontrollable risk.The controllable risk,related with capital market,can be hedged.The expected return produced by the risk may be positive, zero or negative.But the uncontrollable risk,having no relevance to capital market,cannot be hedged.The later has effect on the price of contingent claims,but the former does not. As the uncontrollable return of interest rate is positively(negatively)correlative with the non- hedgeable part of contingent claims,the higher the risk of the non-hedgeable part of contingent claims,the higher(lower)its price.