| 用B-S期权定价模型评估存款保险的价格 |
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| 引用本文： | 彭斌,韩玉启.用B-S期权定价模型评估存款保险的价格[J].价值工程,2005,24(2):126-128. |
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| 作者姓名： | 彭斌 韩玉启 |
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| 作者单位： | 南京理工大学经济管理学院,南京,210094 |
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| 基金项目： | 国家自然基金资助项目(79970115) |
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| 摘 要： | 存款保险定价是存款保险制度建设中的核心内容,保险定价效率直接影响制度的功效。碍于现金流贴现估价模型的局限性,本文从期权的角度阐述了存款保险的期权特性,指出存款保险合同实质上就是一份看跌期权,从理论和实证两方面论述了如何运用B-S期权定价模型确定存款保险价格的问题,对实践中存款保险的合理定价和制度建设具有重要的指导意义。
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| 关 键 词： | 存款保险 看跌期权 期权定价模型 |
| 文章编号： | 1006-4311(2005)02-0126-03 |
Evaluation the Price of Deposit Insurance through B-S Option Pricing Model |
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| Peng Bin,Han Yuqi.Evaluation the Price of Deposit Insurance through B-S Option Pricing Model[J].Value Engineering,2005,24(2):126-128. |
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| Authors: | Peng Bin Han Yuqi |
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| Abstract: | Deposit insurance pricing is the key content of the deposit insurance system. Its efficiency directly has an impact on system effectiveness. In this article, we clarified the option characteristics of deposit insurance from the option's view of point and on this groundwork ,we indicated that deposit insurance contract is substantively a put option. In addition, we further dissertate how to apply the B-S option pricing model to the evaluation of deposit insurance price from two sides of the theory and the demonstration, which can be the direct sense for the justified conformation of deposit insurance price and construction of deposit insurance system. |
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| Keywords: | deposit insurance put option option pricing model |
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