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。
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.
出处
《商业研究》
北大核心
2005年第22期8-10,共3页
Commercial Research
基金
国家自然基金资助项目
项目编号:79970115
关键词
存款保险
看跌期权
期权定价模型
deposit insurance
put option
option pricing moded
