期权定价理论在存款保险定价问题中的应用

存款保险制度的核心问题是存款保险费率的确定。本文在深入分析存款保险自身的特点的基础上,应用Black-scholes期权定价模型对存款保险价格问题进行了探讨。并以一个具体的实例对这一应用进行实证分析。分析结果表明,这一应用是科学的,可行的。从而可以为各国存款保险制度的正确确立提供了一定的依据。     

存款保险定价模型研究

存款保险作为三大金融安全之一,在美国二十世纪三十年代首次建立以来,在保护存款人利益的同时,防范系统性金融危机的发生。我国于2015年5月1日正式实施《存款保险条例》,标志着我国从政府担保的隐性存款保险制度向显性存款保险制度的转变。存款保险的核心是存款保险定价,而合理的定价模型至关重要。本文从存款保险的理论定价模型和各国采用的定价模型入手,分析各方法的优缺点,通过比较分析提出适合我国未来存款保险定价模型的思路。     

基于Merton模型的存款保险定价研究

本文利用Merton模型对我国16家上市银行2014年度的存款保险费率进行了测算。测算结果表明,国有五大商业银行的存款保险费率要高于股份制商业银行和城市商业银行,而城市商业银行的存款保险费率要高于股份制商业银行。且16家上市银行的费率是区间是0.01‰-0.88‰,这说明存款保险定价的期权方法在我国具有一定的实用性。     

关于我国存款保险定价的分析

本文立足我国最新颁布的《存款保险条例》,分析了该条例颁布的必然性和影响,比较了各种定价模型之间的优势和不足,在结合我国实际和制度特色的基础上,为构建完善和稳定的金融保障系统提出了一些建议。     

B-S期权定价模型为公司股票和债权定价

著名的布莱克-舒尔斯期权定价模型成功为期权这一最复杂的衍生金融工具定价,他的提出最早可追溯到1973年,由美国芝加哥大学教授费雪·布莱克和梅隆·舒尔斯合作发表的《期权与公司负债定价》一文,这一难题的攻克引起了强烈的反响。随着期权理论的逐步发展,人们意识到生活中很多事物或者交易可以被转换为期权的思想。本文即将公司股票和债券视为基于公司资产的期权,从而利用B-S模型为公司股票和债券定价。     

存款保险定价模型与中国模式选择

本文引进了存款保险定价的期权定价模型和预期损失模型,针对中国现阶段的商业银行经营状况,在预期损失模型的基础上,真实测算了存款保险费率,并建设性地从中国国情出发提出了存款保险费率的基本模式和基于混合方法的拓展模式。最后评价了本文所涉及的存款保险定价模型,并基于实务的角度提出了存款保险费率确定机制。     

Black-Scholes期权定价模型的精确性及适用性分析

布莱克—斯科尔斯定价模型是1973年由费雪·布莱克(Fisher Black)和迈伦·斯科尔斯(Myron Scholes)提出的有关期权定价的模型,该模型一直被认为是应用经济学最成功的模型。本文通过对该模型的假设条件和现实世界进行对比分析,探讨了模型的精确性和适用性。最后得出的结论是:尽管该模型的假设条件并不能完美描述现实世界,但它还是胜过其它的期权价值评估方法,仍然是交易中不可或缺的分析工具。投资者在实践中更多地是通过交易技巧而不是采用更复杂的扩展模型来克服B—S定价模型的各种缺陷。     

浅谈期权定价模型在股票定价中的应用

传统的股利折现模型在对股票定价的过程中，不能精确地确定投资的预期收益率和未来支付的现金股利，因此存在着一定的缺陷与不足。公司的权益资本(股票)具有期权的特性，公司的股票实质上是基于公司价值的看涨期权，该期权的执行价格就是公司债券到期时的还本付息的金额。于是可以用期权定价模型来对股票定价。该方法不需要估计未来的现金股利和投资的预期收益率，在一定程度上克服了传统股票定价方法的缺陷。     

具有住房反抵押选择权的长期护理保险定价研究

本文在长期护理保险中嵌入住房反抵押贷款选择权,提出一个新的长期护理保险产品方案,并给出其定价模型。同时,根据对未来房屋价值、利率、死亡率等因素的预测,模拟计算具有住房反抵押选择权的长期护理保险的合约费以及可获得的给付金额。研究结果表明,与一般长期护理保险产品相比,具有住房反抵押贷款选择权的长期护理保险可以以当前相对较低的合约费为未来出现生活不能自理状态的老年人提供较多的收入,并可保留房屋的使用权至终生。     

运用期权定价模型评估公司价值

本着把期权思想应用于公司价值评估,分别运用二叉树模型和Black-Scholes模型计算公司价值,并对这一方法的应用价值及局限性进行一定的探讨。     

A Nonstandard Approach to Option Pricing

Nonstandard probability theory and stochastic analysis, as developed by Loeb, Anderson, and Keisler, has the attractive feature that it allows one to exploit combinatorial aspects of a well-understood discrete theory in a continuous setting. We illustrate this with an example taken from financial economics: a nonstandard construction of the well-known Black-Scholes option pricing model allows us to view the resulting object at the same time as both (the hyperfinite version of) the binomial Cox-Ross-Rubinstein model (that is, a hyperfinite geometric random walk) and the continuous model introduced by Black and Scholes (a geometric Brownian motion). Nonstandard methods provide a means of moving freely back and forth between the discrete and continuous points of view. This enables us to give an elementary derivation of the Black-Scholes option pricing formula from the corresponding formula for the binomial model. We also devise an intuitive but rigorous method for constructing self-financing hedge portfolios for various contingent claims, again using the explicit constructions available in the hyperfinite binomial model, to give the portfolio appropriate to the Black-Scholes model. Thus, nonstandard analysis provides a rigorous basis for the economists' intuitive notion that the Black-Scholes model contains a built-in version of the Cox-Ross-Rubinstein model.     

Option Pricing in ARCH-type Models

ARCH models have become popular for modeling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete-time models and possess too much variability. We show that completeness of the market holds for a broad class of ARCH-type models defined in a suitable continuous-time fashion. As an example we focus on the GARCH(1,1)-M model and obtain, through our method, the same pricing formula as Duan, who applied equilibrium-type arguments.     

An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs

Davis, Panas, and Zariphopoulou (1993) and Hodges and Neuberger (1989) have presented a very appealing model for pricing European options in the presence of rehedging transaction costs. In their papers the 'maximization of utility' leads to a hedging strategy and an option value. The latter is different from the Black–Scholes fair value and is given by the solution of a three–dimensional free boundary problem. This problem is computationally very time–consuming. In this paper we analyze this problem in the realistic case of small transaction costs, applying simple ideas of asymptotic analysis. The problem is then reduced to an inhomogeneous diffusion equation in only two independent variables, the asset price and time. The advantages of this approach are to increase the speed at which the optimal hedging strategy is calculated and to add insight generally. Indeed, we find a very simple analytical expression for the hedging strategy involving the option's gamma.     

论市场因素对保险产品定价的影响

基于精算技术的保费厘定实际上是用一种成本定价方法,未考虑市场因素对价格的影响。即单个投保人之间对保险产品价格变化的容忍程度、价格空间的大小变化对顾客需求的影响以及不同组群的潜在投保人的需求差别。分析市场因素对保险产品定价的影响,保险产品差别定价的策略是保险业产品定价之良策。而保险业只有精算技术与市场分析结合起来才能挖掘保险产品深层次的潜力。     

A Note on the Boyle–Vorst Discrete-Time Option Pricing Model with Transactions Costs

Working in a binomial framework, Boyle and Vorst (1992) derived self-financing strategies perfectly replicating the final payoffs to long positions in European call and put options, assuming proportional transactions costs on trades in the stocks. The initial cost of such a strategy yields, by an arbitrage argument, an upper bound for the option price. A lower bound for the option price is obtained by replicating a short position. However, for short positions, Boyle and Vorst had to impose three additional conditions. Our aim in this paper is to remove Boyle and Vorst's conditions for the replication of short calls and puts.     

显性化:我国存款保险制度的未来演进

隐性存款保险构成了显性存款保险的逻辑起点,而显性存款保险是隐性存款保险的演进方向。非国有经济的扩展使国家提供隐性存款保险的收益大幅度降低,而金融业的开放也使得国有银行偏好真实资本的注入以及与此相伴的显性存款保险制度。     

Option Pricing With V. G. Martingale Components1

European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.     

资本资产定价模型的扩展及其在保险中的应用

传统的资本资产定价模型是在一系列过于严格化、理想化的条件下建立起来的。针对现实资本市场情况,通过对资本资产定价模型的应用条件的部分修改,如增加保险公司存在违约风险、交易费用和税收的条件,并且讨论交易费用分别为固定值和保费的函数时的情形以及税收分为固定值和变量的情形,对保费定价问题进行模型扩展。理论推导结果显示,在存在违约风险情况下,保险公司所收保费应该更低;承保费用越少,所需保费就越少;存在税负条件下的公平保费与税收水平有关。