基于择券和择时的国债期货定价
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摘要
文章研究了基于择券和择时的国债期货定价问题,提出了在随机利率模型下,同时量化"择券期权"和"择时期权"的算法.通过对2015年至2017年中国国债期货市场进行实证研究,发现该算法对市值拟合度较高,并为敏感性因子计算和风险管理提供有力的支持.此外文章还分析了市场利率环境发生变化时"择券期权"和"择时期权"的特点,发现极端利率环境下,需要对"期权"价值重点关注.
This paper considers the pricing of Treasury bond futures embedded quality option and timing option,and proposes a pricing algorithm that can handle quality option and timing option simultaneously under stochastic interest rate model.Through empirical analysis of the Chinese government bond futures market from 2015 to 2017,it is found that the model result fits the market price well,and can be applied to sensitivity factor calculation and risk management.In addition,this paper analyzes the characteristics of quality option and timing option under different interest rate environments,and concludes that it is necessary to pay attention to option values of Treasury bond futures under extreme interest rate environment.
This paper considers the pricing of Treasury bond futures embedded quality option and timing option,and proposes a pricing algorithm that can handle quality option and timing option simultaneously under stochastic interest rate model.Through empirical analysis of the Chinese government bond futures market from 2015 to 2017,it is found that the model result fits the market price well,and can be applied to sensitivity factor calculation and risk management.In addition,this paper analyzes the characteristics of quality option and timing option under different interest rate environments,and concludes that it is necessary to pay attention to option values of Treasury bond futures under extreme interest rate environment.
引文
[1]Boyle P P.The quality option and timing option in futures contracts.Journal of Finance, 1989,44(1):101-113.
[2]Balbas A,Reichardt S.On the future contract quality option:A new look.Applied Financial Economics,2010,20(15):1217-1229.
[3]Gay G D,Manaster S.The quality option implicit in futures contracts.Journal of Financial Economics,2006,13(3):353-370.
[4]Hemler M L.The quality delivery option in Treasury bond futures contracts.The Journal of Finance,1990,45(5):1565-1586.
[5]Bick A.Two closed-form formulas for the futures price in the presence of a quality option.Review of Finance,1997,1(1):81-104.
[6]Lin B,Chen R,Chou J.Pricing and quality option in Japanese government bond futures.Applied Financial Economics, 1999,9(1):51-65.
[7]Ramzi B,Hatem B,Michele B.Pricing the Chicago Board of Trade T-Bond futures.Quantitative Finance,2012,12(11):1663-1678.
[8]Carr P,Chen R R.Valuing bond futures and quality option.Journal of Finance, 2010,49(3):1057-1058.
[9]陈蓉,葛骏.中国国债期货与隐含择券期权定价.数理统计与管理,2017,36(2):361-380.(Chen R,Ge J.Pricing the Chinese treasury bond futures and the implied quality options.Journal of Applied Statistics and Management, 2017,36(2):361-380.)
[10]Hranaiova J,Jarrow R A,Tomek W G.Estimating the value of delivery options in futures contracts.Journal of Financial Research, 2005,28(3):363-383.
[11]韩伟龙.基于Hull-White模型和动态规划方法的国债期货定价研究.硕士论文,华中科技大学,2016.(Han W L.Research on the pricing of Treasury bond futures with Hull-White model and dynamic programming method.Master Thesis,Huazhong University of Science&Technology,2016.)
[12]Hull J,White A.One-factor interest-rate models and the valuation of interest-rate derivative securities.Journal of Financial&Quantitative Analysis, 1993,28(2):235-254.
[13]Hull J,White A.Valuing derivative securities using the explicit finite difference method.Journal of Financial&Quantitative Analysis, 1990,25(1):87-100.
[14]Hull J,White A.Pricing interest-rate-derivative securities.Review of Financial Studies, 1990,3(4):573-592.
[15]Hull J,White A.Numerical procedures for implementing term structure modelsⅡ.Journal of Derivatives,2009,2(2):37-48.
[16]Hull J.Using Hull-White interest rate trees.Journal of Derivatives,1996,3(3):26-36.
[17]Hull J.Options,Futures and Other Derivatives(6th Edition).Englewood:Prentice Hall,2015.
[18]Vasicek O.An equilibrium characterization of the term structure.Journal of Financial Economics,1977,12(4):627-627.
[2]Balbas A,Reichardt S.On the future contract quality option:A new look.Applied Financial Economics,2010,20(15):1217-1229.
[3]Gay G D,Manaster S.The quality option implicit in futures contracts.Journal of Financial Economics,2006,13(3):353-370.
[4]Hemler M L.The quality delivery option in Treasury bond futures contracts.The Journal of Finance,1990,45(5):1565-1586.
[5]Bick A.Two closed-form formulas for the futures price in the presence of a quality option.Review of Finance,1997,1(1):81-104.
[6]Lin B,Chen R,Chou J.Pricing and quality option in Japanese government bond futures.Applied Financial Economics, 1999,9(1):51-65.
[7]Ramzi B,Hatem B,Michele B.Pricing the Chicago Board of Trade T-Bond futures.Quantitative Finance,2012,12(11):1663-1678.
[8]Carr P,Chen R R.Valuing bond futures and quality option.Journal of Finance, 2010,49(3):1057-1058.
[9]陈蓉,葛骏.中国国债期货与隐含择券期权定价.数理统计与管理,2017,36(2):361-380.(Chen R,Ge J.Pricing the Chinese treasury bond futures and the implied quality options.Journal of Applied Statistics and Management, 2017,36(2):361-380.)
[10]Hranaiova J,Jarrow R A,Tomek W G.Estimating the value of delivery options in futures contracts.Journal of Financial Research, 2005,28(3):363-383.
[11]韩伟龙.基于Hull-White模型和动态规划方法的国债期货定价研究.硕士论文,华中科技大学,2016.(Han W L.Research on the pricing of Treasury bond futures with Hull-White model and dynamic programming method.Master Thesis,Huazhong University of Science&Technology,2016.)
[12]Hull J,White A.One-factor interest-rate models and the valuation of interest-rate derivative securities.Journal of Financial&Quantitative Analysis, 1993,28(2):235-254.
[13]Hull J,White A.Valuing derivative securities using the explicit finite difference method.Journal of Financial&Quantitative Analysis, 1990,25(1):87-100.
[14]Hull J,White A.Pricing interest-rate-derivative securities.Review of Financial Studies, 1990,3(4):573-592.
[15]Hull J,White A.Numerical procedures for implementing term structure modelsⅡ.Journal of Derivatives,2009,2(2):37-48.
[16]Hull J.Using Hull-White interest rate trees.Journal of Derivatives,1996,3(3):26-36.
[17]Hull J.Options,Futures and Other Derivatives(6th Edition).Englewood:Prentice Hall,2015.
[18]Vasicek O.An equilibrium characterization of the term structure.Journal of Financial Economics,1977,12(4):627-627.