关于Shibor利率期权波动率定价机制的研究

Shibor自2007年发布以来,已成为人民币利率市场的一个重要定价基准,对金融衍生品、债券的定价起着十分重要的作用,由于人民币利率衍生品市场尚处于发展的初期,与美元Libor利率期权等较为成熟市场相比,目前Shibor利率期权缺少成熟的市场报价。本文通过风险中性的定价方程反解参数的方法,利用Shibor利率掉期曲线对Shibor利率上下限期权的隐含波动率进行计算,从而探讨对Shibor利率期权的定价。

A study on the Shibor interest rate option volatility pricing mechanism

Shibor has become an important pricing benchmark in the RMB interest-rate market since its release in 2007,and plays a key role in derivatives pricing and bond pricing.However,the RMB interest-rate derivatives market is still in its infancy.Unlike the Libor interest-rate option in matured markets,the Shibor interest-rate option lacks high quality quotations.This paper uses the risk neutral pricing equation to inversely obtain parameters,and uses the Shibor interest-rate swap curve to calculate the implied volatilities of the Shibor caps and floors,in order to find the approach for Shibor interest-rate option pricing.