存贷款利率隐含期权的蒙特卡罗模拟定价

随着利率市场化改革的深入，商业银行在经营中将出现一种新的风险，即隐含期权所带来的利率风险，对这些隐含期权的忽略会给公司造成重大损失。本文研究了基于跳跃---扩散模型的利率隐含期权的蒙特卡罗模拟定价模型与原理，结合我国银行存、贷款的隐含期权的类型及投资者的最优执行策略理论，对我国商业银行五年期定期存款与十年期可提前偿还贷款中的隐含期权进行定价。

Monte Carlo Simulation Methods for Pricing Options Embedded in Deposit and Loan

With the process of market-oriented reform of interest rates, a new risk which is caused by the embedded option ap-pears in the bank management.If this embedded option is neglected, the corporations will loss a lot.We make research on Monte Carlo simulation for the pricing interest rate derivatives , combining the characteristic of options embedded in the deposits and loans, and the best strategy for the implementation of the investors , and take the five-year deposits and ten-year loans for exam-ples.