价差期权

最后探讨如何将价差期权的思想运用到商业银行利率风险管理中，从另一视角探讨商业银行的利率风险管理。文章分为八章。

At the end of this article , the author discusses how to imply the idea of spread options to the interest rate risk management of commercial banks and provides a new angle to interest rate risk management .

研究结果表明，这类产品在定价时可以看作由一个具有保底收益的投资基金与一个基于死亡赔付的欧式熊市价差期权组合（EBSOP）构成，该期权组合的价值通常不容忽视；

The results show that such kind of contract is composed with a guaranteed investment fund and a European bear spreads option package ( EBSOP ) whose value can not be ignored .

水平价差期权策略的一种，投资者同时买入及卖出两种同类型、行使价格相同但到期日不同的期权。

Horizontal spread an options strategy involving the simultaneous purchase and sale of two options of the same type , having the same strike price , but different expiration dates .

从目前国外学术界和业内基于债券定价原理对MBS的定价思路上，主要有三种定价模式：建立提前偿付模型法、期权调整价差法和期权定价法。

Now , it has three pricing modes of the MBS : the method of establishing a pre-payment model , the method of the option-adjusted spread and the method of the option pricing .