| 存款保险的期权定价模型构造及实证研究 |
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| 引用本文： | 彭斌,韩玉启.存款保险的期权定价模型构造及实证研究[J].商业研究,2005(22):8-10. |
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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,江苏,南京,210094 |
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| 基金项目： | 国家自然基金资助项目,项目编号：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,从期权的角度阐述了存款保险与期权的关系,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Black-Schole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： | 1001-148x（2005）22-0008-03 |
| 收稿时间： | 09 20 2004 12:00AM |
| 修稿时间： | 2004-09-20 |
The Composition of Option Pricing Model for Deposit Insurance |
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| PENG Bin,HAN Yu-qi.The Composition of Option Pricing Model for Deposit Insurance[J].Commercial Research,2005(22):8-10. |
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| Authors: | PENG Bin HAN Yu-qi |
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| Institution: | School of Economics and Management, NUST, Nanjing Jiangsu 210094, China |
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| Abstract: | Deposit insurance pricing is tile key content of the deposit insurance system. Its efficiency has a direct impact on system effectiveness. This paper clarifies the relationship between option and deposit insurance from the perspeetive of option, It holds that deposit insurance contract is substantively a put option, In addition, it further dissertates how to apply the Black - Seholes option pricing model to the evaluation of deposit insurance price in - terms of the theory and practice. Tiffs is significant to the justified eonformation of deposit insurance price and the construction of deposit insurance system. |
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| Keywords: | deposit insurance put option option pricing moded |
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