bdt模型在我国利率衍生品定价中的应用研究——以建行汇得盈产品为例word格式论文.docxVIP

摘要利率衍生品是金融市场深化的必然产物，随着利率衍生品市场的快速发 展，对于利率衍生品的定价研究具有非常重要的现实意义。只有保证利率衍生 品定价在理性的价格波动范围内，利率衍生品市场才能保证健康持续的发展， 并发挥其作为金融衍生品应具备的功能。本文主要采用 Black-Derman-Toy 模 型（简称 BDT 模型）对我国的利率衍生品进行定价研究。BDT 模型是以即期 利率为唯一变量的单因子套利定价模型，该模型能够与利率期限结构完全匹 配，从而保证与各期债券的价格逐期拟合。本文介绍了 BDT 模型的理论基础，对连续形式下的表达式进行了推导，并 给出了离散形式的 BDT 二叉树模型的构建方式，然后运用 BDT 模型对建设银行 发行的“汇得盈”利率衍生品进行估值定价研究，实证结果表明所选的两期建行的 该款产品都是折价发行，基于此对我国的利率衍生品定价和市场发展提出了可行 性建议，应当重视利率衍生品定价和产品设计方面的研究，借鉴国外的经验，并 深化金融体制改革，为利率衍生品发展提供一个良好的环境。关键词：利率衍生品，BDT 模型，汇得盈AbstractInterest rate derivatives are the inevitable outcome of the deepening of the financial market. With the rapid development of interest rate derivatives, research on the pricing for interest rate derivatives has a very important practical significance. Only if guaranteeing the price of interest rate derivatives in a rational range can the interest rate derivatives market develop healthily and steadily and play its function. This paper uses the Black-Derman-Toy Model (BDT Model) to study the pricing for interest rate derivatives. BDT model is a single factor arbitrage model with the short rate as the only variable. This model can totally match the interest rate structure so that it can totally fit with the bond price in each period.This paper introduces the theoretical basis of the BDT Model, and derives for the expression of continuous BDT Model. Also the way to build the discrete BDT binomial model is given in this paper, then using this model to value the price of financial products, Hui De Ying, issued by China Construction Bank. The empirical test shows this interest rate derivate is underpricing. Based on the results, this paper gives some advice for the interest rate derivates pricing and market development. The research on pricing for interest derivates and product design need to be paid more attention. Moreover, the government can draw the foreign experience and deepen the reform of the financial system to create a better environment for the development of interest derivates.Keywords：Inte