中国国债期货定价研究——基于交割期权修正方法

The Pricing of Treasury Bond Futures Using a Modified Option Model

由于我国国债期货的合约设计和普通的期货合约存在差异,传统的期货定价方法无法覆盖国债期货合约隐含的各类交割期权的价值。本文根据中金所国债期货合约条款,建立了我国国债期货的交割期权模型,并将该模型用于修正传统的国债期货定价方程,从而为国债期货的套期保值和套利交易提供了更加精确的理论价格模型。基于市场数据的实证研究表明,该修正方法减少了国债期货的定价偏差。

Due to differences between the contract of China＇s treasury bond futures and the common futures, traditional futures pricing models can not cover the whole value of China＇s treasury bond futures, which may include some implicit options. According to the design of China＇s treasury bond futures contract, we have built a new model for these implicit options, which can be applied to modify the traditional pricing equation of the treasury bonds futures. An empirical study for this new model with market data suggests the modified model reduce the mispricing of China＇s treasury bond futures.