摘要
本文为实现Merton期权定价方法的实用性对银行资产价值At和σt计算方法进行了改进,这些改进包括了银行现金流的计算、风险的确定、折现率的调整等。根据上市银行的股权价格通过市场模型估计存款保险的定价,结合二叉树定价方法,推导出基于随机赔偿的存款保险收益定价模型,并利用参考银行进行了实证研究。
In order to strengthen the usability of Merton＇s option pricing method, we have improved the bank asset value and the computational method. These improvements include the cash computation, risk determination, adjustment in discount rate. Then according to the listed bank stockholder＇s rights price, we estimate the deposit insurance pricing with the market model. By the binary pricing method, we derive the stochastic compensation-based income pricing model of deposit insurance, and conduct the empirical study.
