摘要
本文探讨了全国银行间同业拆借中心发布的货币市场基准利率参考指标的统计特征,重点考虑了基准利率收益率波动性的度量方法,如移动平均、指数加权移动平均和GARCH类模型,得到了描述该利率收益率的波动性模型。在此基础上,又考虑了基于基准利率的期权的设计、定价和模拟,由Black-Scholes定价公式,得到了利率期权随时间变化的动态的理论价值。
This paper reviews the statistic characters ofreference parameters of monetary market benchmarkinterest rate index disseminated by Chinese inter-bankborrowing center, with the focus on volatility measuremethod of benchmark interest rate, such as simple movingaverage method, exponential weighted average methodand GARCH-type method. What is more, it also considersthe design, pricing and simulation of benchmark interestrate option and reaches at the valuable theory on dynamicsof interest rate option.
出处
《证券市场导报》
北大核心
2005年第2期71-74,共4页
Securities Market Herald
