基于掉期期权的金融衍生品定价与对冲模型研究[EB/OL]
北京：中国科技论文在线
2、 山东科技大学经济管理学院, 山东 青岛 266590
* （ 1、 山东科技大学经济管理学院, 山东 青岛 266590
） 摘要： 金融衍生品的信用违约掉期(Credit Default Swap)是一种金融风险管理工具和金融资产的违约保险方法, 由于信用违约掉期产品实行柜台交易, 并缺乏有效的政府监管, 且尚未建立官方清算系统及完善的信息披露机制, 致使违约掉期市场目前处于信息不对称、风险不可测的状态
基于此, 本文构建了金融衍生品同业拆息市场模型, 剖析了其扰动波动结构, 分析了金融衍生品掉期期权扰动波动的灵敏度问题, 基于对冲风险相对误差灵敏度的控制参数的设定, 构建了金融衍生品掉期期权的定价与对冲模型, 结合香港同业拆息市场中金融衍生品掉期期权的定价与对冲实际对模型进行了实证仿真, 实证仿真结果证明了模型的可靠性和科学性
关键词： 掉期期权; 金融衍生品; 定价与对冲; 同业拆息 ZHAO Feng 1,
2、 Shandong University of Science and Technology, School of Economic and Management, Qingdao, Shandong, 266590, P
R
China
ZHANG Jie 2,3,* （ 1、 Shandong University of Science and Technology, School of Economic and Management, Qingdao, Shandong, 266590, P
R
China
3、 山东大学管理学院,山东济南 250100
） Abstract： Credit Default Swap, known as financial derivatives, serves a risk management tool and a default insurance of financial assets
The global credit default swaps market suffers the state of information asymmetry and difficulty of risk estimate when Credit Default Swap products are implementing OTC trading without efficient government regulation,central settlement systems or perfect information disclosure systems
To solve the above problem, an interbank market model of financial derivatives was constructed and disturbance fluctuation structure was established for study esp
on fluctuate sensitivity of the financial derivatives swap option disturbance and sensitivity controlling parameter of the hedged risk
The pricing and hedging model about the financial derivatives swap option was built, then the simulation experiments of the model was proceed about the issue of pricing and swaps to hedge of financial derivatives in Hong Kong interbank market, and the simulation result was analyzed in depth
Keywords： swap option; financial derivative products; pricing and hedging; interbank market 下载PDF阅读器 PDF全文下载： 初稿 （ 4 ） 作者简介： 赵峰(1978—),女,博士后,副教授,硕士生导师,主要研究方向: 金融工程, E-mail:chinazhaof@163
com
通信联系人： 张杰(1975—), 男, 博士后, 副教授, 硕士生导师, 主要研究方向: 金融工程
Email:zhangjie0371@163
com 【收录情况】 中国科技论文在线： 赵峰
3、 Shandong University,School of Management,Jinan,250100,P
