| 我国商业银行存款保险期权定价的实证研究——基于Merton、RV和Garch模型的比较与分析 |
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| 引用本文： | 张春海,郑莉莉.我国商业银行存款保险期权定价的实证研究——基于Merton、RV和Garch模型的比较与分析[J].科学决策,2011(4):82-94. |
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| 作者姓名： | 张春海 郑莉莉 |
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| 基金项目： | 教育部人文社科基金规划项目(1OYJA790164)，对外经济贸易人学国家“211工程”重点学科建设项目
(73000010) |
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| 摘 要： | 文章以发展近四十年的期权定价方法为基础，引入GARCH(1，1)期权定价模型对银行股本收益率的波动率进行了建模分析，并与早期的Merton和RV模型实证分析结果进行比较。研究发现：采取传统求方差算法的费率要低于采取GARCH模型算法的保险费率；同时，Merton方法计算的费率高于RV方法的计算结果。研究结论为我国存款保险的定价提供参考性建议。
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| 关 键 词： | 存款保险 期权定价模型 存款保险定价 GARCH模型 |
Empirical Research on Option Pricing of Commercial Bank Deposit Insurance |
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| ZHANG Chun-hai and ZHENG Li-li.Empirical Research on Option Pricing of Commercial Bank Deposit Insurance[J].Scientific Decision-Making,2011(4):82-94. |
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| Authors: | ZHANG Chun-hai and ZHENG Li-li |
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| Abstract: | This article introduces GARCH (1. 1) option pricing model to provide a systematically empirical analysis on the basis of the nearly four decades' developed option pricing model and our country' reality. Compared with early Merton and RV model, this article demonstrates that the premium rate using traditional variance can be lower than the rate using GARCH option pricing model, and the rate using GARCH option pricing model is higher than the rate using RV model. The conclusion provides suggestions to our country's deposit insurance pricing. |
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| Keywords: | deposit insurance option pricing model deposit insurance pricing GARCH model |
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