| Crank-Nicolson差分法下利率扩散模型估计效率研究 |
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| 引用本文： | 陈晖,谢赤.Crank-Nicolson差分法下利率扩散模型估计效率研究[J].系统工程,2004,22(6):44-48. |
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| 作者姓名： | 陈晖 谢赤 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家社会科学基金资助项目(03BJY099)，国家自然科学基金资助项目(79970015)，教育部博士点专项科研基金资助项目(20020532005)，全国高校青年教师奖励基金资助项目 |
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| 摘 要： | 用Crank-Nicolson差分法求解利率扩散模型的Fokker-Planck偏微分方程，得到模型转移密度的近似解，并与模型的转移密度闭端解以及Euler法下的近似解进行比较，同时也比较这种方法在模型参数识别方面的效率。
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| 关 键 词： | 扩散模型 转移密度 Crank-Nicolon差分法 Euler法 |
| 文章编号： | 1001-4098(2004)06-0044-05 |
Efficiency Study on the Estimation of the Diffusion Models of Interest Rates under the Crank-Nicolson Finite Difference Approach |
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| CHEN Hui,XIE Chi.Efficiency Study on the Estimation of the Diffusion Models of Interest Rates under the Crank-Nicolson Finite Difference Approach[J].Systems Engineering,2004,22(6):44-48. |
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| Authors: | CHEN Hui XIE Chi |
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| Abstract: | In the paper, we solve the Fokker-Plank equations of the diffusion models of the interest rates by using the (Crank-Nicolson) finite difference approach and estimate the transition densities of these models. We compare the closed-form density with the approximations under the Euler and Crank-Nicolson approaches. The efficiencies of estimation under the two approaches have also been studied. |
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| Keywords: | Diffusion Models Transition Densities Crank-Nicolson Finite Difference Approach Euler Approach |
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