| 基于双指数跳扩散的三叉树利率模型 |
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| 引用本文： | 李玉萍,周圣武.基于双指数跳扩散的三叉树利率模型[J].湖南师范大学自然科学学报,2012(4):6-11. |
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| 作者姓名： | 李玉萍 周圣武 |
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| 作者单位： | 中国矿业大学理学院 |
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| 基金项目： | 中央高校基本业务费专项资金资助(JGK101658) |
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| 摘 要： | 运用三叉树模型研究了利率服从双指数跳扩散过程,推广了NR(1990)的变换方法.在双指数跳扩散模型的基础上给出了跳点的概率和任意时刻的利率值,推广了Beliaeva(2011)的结果.通过数值计算得到随机利率比常利率下期权的价值要低并且利率的波动率越大,对期权价值的影响越大.
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| 关 键 词： | 双指数跳扩散模型 随机利率模型 三叉树模型 CIR短期利率模型 |
The Trigeminal Tree Model of Interest Rates Based on Double Exponential Jump-Diffusion |
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| LI Yu-ping,ZHOU Sheng-wu.The Trigeminal Tree Model of Interest Rates Based on Double Exponential Jump-Diffusion[J].Journal of Natural Science of Hunan Normal University,2012(4):6-11. |
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| Authors: | LI Yu-ping ZHOU Sheng-wu |
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| Institution: | (College of Science,China University of Mining and Technology,Xuzhou 221116,China) |
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| Abstract: | The interest rates under the double exponential jump-diffusion are studied using trigeminal tree model.The transform method of NR(1990) is extended.The diffusion probabilities is gotten based on the trigeminal method and the results of Beliaeva(2011) are extended.Numerical results show that the value of the option under the stochastic interest rate is lower than that under the often rate and if the volatility of interest rate is bigger,the influence on the option value is greater. |
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| Keywords: | double exponential jump-diffusion model stochastic interest rate model trigeminal tree model CIR short rate model |
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