基于农作物生长季的干旱指数巨灾期权定价模型及其应用
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摘要
旱灾风险成因复杂、损失巨大,传统的风险分散方式往往因损失测度难、信息不对称程度高造成理赔率低、交易量小等困境,以标准化、公开化的干旱指数作为标的物的干旱指数巨灾期权可较好地满足市场交易需求,对于规避农业旱灾风险、保障粮食安全和增加市场金融投资品种具有重要意义。本文阐述了基于农作物生长季的干旱指数巨灾期权内涵,考虑到农作物生长季不同生长期的需水要求和因旱损失程度不同的实际,假设干旱指数巨灾期权是一种带有障碍条款的具有多个行权日的百慕大式看涨期权,构建了三叉树定价模型,并以云南省夏玉米生长季的干旱指数巨灾期权定价过程为例,分析了期权的性质、价格对各影响要素的敏感性。基于上述实证研究结果并结合我国国情,提出了我国运行干旱指数巨灾期权的发展策略与政策建议。
The risk of drought is complex and the loss is enormous. Traditional forms of risk diversification face with the dilemma of low claim rate and small transaction volume because the loss is difficult to measure,and the information is not symmetrical. The drought index catastrophe option using the standardized and public drought index as the subject can better meet the market demand,therefore it has an important significance for mitigating agricultural drought risks,ensuring food security,and increasing related financial products. This paper elaborated on the connotation of the drought index catastrophe option,based on the crop growth season. Considering the difference of water requirements in a crop growth season of different growth period and the different degree of loss due to droughts,the drought index catastrophe option was assumed to be a Bermuda call option with multiple exercise dates with barrier terms,and a trinomial tree pricing model was constructed. Then taking summer maize growing season in Yunnan province as an example,the paper explained its pricing process of drought index catastrophe option,analyzed the nature and sensitivity of the price to each influencing factor. Based on the above empirical research results and the actual situation of our country,the paper put forward the development strategies and policy recommendations of drought index catastrophe option in China.
The risk of drought is complex and the loss is enormous. Traditional forms of risk diversification face with the dilemma of low claim rate and small transaction volume because the loss is difficult to measure,and the information is not symmetrical. The drought index catastrophe option using the standardized and public drought index as the subject can better meet the market demand,therefore it has an important significance for mitigating agricultural drought risks,ensuring food security,and increasing related financial products. This paper elaborated on the connotation of the drought index catastrophe option,based on the crop growth season. Considering the difference of water requirements in a crop growth season of different growth period and the different degree of loss due to droughts,the drought index catastrophe option was assumed to be a Bermuda call option with multiple exercise dates with barrier terms,and a trinomial tree pricing model was constructed. Then taking summer maize growing season in Yunnan province as an example,the paper explained its pricing process of drought index catastrophe option,analyzed the nature and sensitivity of the price to each influencing factor. Based on the above empirical research results and the actual situation of our country,the paper put forward the development strategies and policy recommendations of drought index catastrophe option in China.
引文
[1]程铖,石晓军,张顺明.基于Esscher变换的巨灾指数期权定价与数值模拟[J].中国管理科学,2014,22(1):20-28.
[2]丁波,巴曙松.中国地震巨灾期权定价机制研究[J].中国管理科学,2010,18(5):34-39.
[3]顿姣,魏君英,何蒲明.农产品期货和农业保险联动机制研究[J].改革与战略,2017,(9):81-83.
[4]国家防汛抗旱总指挥部.中国水旱灾害公报2016[M].中国水利水电出版社,2017.
[5]韩天雄,陈建华.巨灾风险证券化产品的定价问题[J].保险研究,2003,(12):31-33.
[6]胡炳志,吴亚玲.我国大陆地震巨灾价差期权定价研究[J].保险研究,2013,(12):14-22.
[7]孔锋,吕丽莉,方建.农业巨灾风险评估理论和方法研究综述和展望[J].保险研究,2016,(9):103-116.
[8]李永,胡帅,王艳萍.破产理论视角下的巨灾权益卖权定价[J].系统工程,2014,(3):55-62.
[9]李永,夏敏,梁力铭.基于O-U模型的天气衍生品定价研究——以气温期权为例[J].预测,2012,31(2):18-22.
[10]李宗龙.自然灾害灾情指数构建及其期权定价研究[J].统计与决策,2015,(6):149-152.
[11]刘国光,茅宁.气温随机模型与我国气温期权定价研究.数理统计与管理,2008,27(6):959-967.
[12]沈明轩,何朝林.分数跳-扩散环境下的巨灾期权定价[J].经济数学,2012,29(3):78-81.
[13]石常峰,田贵良,孙兴波,等.应对干旱事件的虚拟水期权契约设计研究[J].干旱区资源与环境,2016,30(6):71-76.
[14]王博.关于巨灾期权定价方法的探讨[J].统计与决策,2009,(9):33-35.
[15]王慧,王慧敏.水灾害期权设计及其定价模型研究[J].预测,2008,27(4):39-45.
[16]谢世清.论巨灾期权及其演进[J].经济理论与经济管理,2010,(6):36-42.
[17]许玲燕,王慧敏,马显莹,等.云南旱灾风险管理框架及对策研究[J].地域研究与开发,2013,32(2):103-108.
[18]Biagini F,Bregman Y,Meyer-Brandis T.Pricing of Catastrophe Insurance Options under Immediate Loss Reestimation[J].Journal of Applied Probability,2008,45(3):831-845.
[19]BOYI E P,HLAu S.Bumping up against the Barrier with the Binomial Method[J].Journal of Derivatives,1994,1(4):6-14.
[20]BOYI E P.Option Valuation Using a Three-Jump Process[J].International Options Journal,1986(3):7-12.
[21]Bruggeman V.Capital Market Instruments for Catastrophe Risk Financing[J].American Risk&Insurance Association,2007(3):3-40.
[22]David Cummins.Cat Bonds and Other Risk-linked Secur ities:State of the Market and Recent Developments[J].Risk Management and Insurance Review,2008,(1):1.
[23]Koo E,Kim G.Explicit Formula for the Valuation of Catastrophe Put Option with Exponential Jump and Defaultrisk[J].Chaos Solitons&Fractals,2017,101:1-7.
(1)国家防汛抗旱总指挥部.中国水旱灾害公报2016[M].中国水利水电出版社,2017.
[2]丁波,巴曙松.中国地震巨灾期权定价机制研究[J].中国管理科学,2010,18(5):34-39.
[3]顿姣,魏君英,何蒲明.农产品期货和农业保险联动机制研究[J].改革与战略,2017,(9):81-83.
[4]国家防汛抗旱总指挥部.中国水旱灾害公报2016[M].中国水利水电出版社,2017.
[5]韩天雄,陈建华.巨灾风险证券化产品的定价问题[J].保险研究,2003,(12):31-33.
[6]胡炳志,吴亚玲.我国大陆地震巨灾价差期权定价研究[J].保险研究,2013,(12):14-22.
[7]孔锋,吕丽莉,方建.农业巨灾风险评估理论和方法研究综述和展望[J].保险研究,2016,(9):103-116.
[8]李永,胡帅,王艳萍.破产理论视角下的巨灾权益卖权定价[J].系统工程,2014,(3):55-62.
[9]李永,夏敏,梁力铭.基于O-U模型的天气衍生品定价研究——以气温期权为例[J].预测,2012,31(2):18-22.
[10]李宗龙.自然灾害灾情指数构建及其期权定价研究[J].统计与决策,2015,(6):149-152.
[11]刘国光,茅宁.气温随机模型与我国气温期权定价研究.数理统计与管理,2008,27(6):959-967.
[12]沈明轩,何朝林.分数跳-扩散环境下的巨灾期权定价[J].经济数学,2012,29(3):78-81.
[13]石常峰,田贵良,孙兴波,等.应对干旱事件的虚拟水期权契约设计研究[J].干旱区资源与环境,2016,30(6):71-76.
[14]王博.关于巨灾期权定价方法的探讨[J].统计与决策,2009,(9):33-35.
[15]王慧,王慧敏.水灾害期权设计及其定价模型研究[J].预测,2008,27(4):39-45.
[16]谢世清.论巨灾期权及其演进[J].经济理论与经济管理,2010,(6):36-42.
[17]许玲燕,王慧敏,马显莹,等.云南旱灾风险管理框架及对策研究[J].地域研究与开发,2013,32(2):103-108.
[18]Biagini F,Bregman Y,Meyer-Brandis T.Pricing of Catastrophe Insurance Options under Immediate Loss Reestimation[J].Journal of Applied Probability,2008,45(3):831-845.
[19]BOYI E P,HLAu S.Bumping up against the Barrier with the Binomial Method[J].Journal of Derivatives,1994,1(4):6-14.
[20]BOYI E P.Option Valuation Using a Three-Jump Process[J].International Options Journal,1986(3):7-12.
[21]Bruggeman V.Capital Market Instruments for Catastrophe Risk Financing[J].American Risk&Insurance Association,2007(3):3-40.
[22]David Cummins.Cat Bonds and Other Risk-linked Secur ities:State of the Market and Recent Developments[J].Risk Management and Insurance Review,2008,(1):1.
[23]Koo E,Kim G.Explicit Formula for the Valuation of Catastrophe Put Option with Exponential Jump and Defaultrisk[J].Chaos Solitons&Fractals,2017,101:1-7.
(1)国家防汛抗旱总指挥部.中国水旱灾害公报2016[M].中国水利水电出版社,2017.