| 非参数利率期限结构动态模型及衍生品定价 |
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| 引用本文： | 宋永安,陆立强.非参数利率期限结构动态模型及衍生品定价[J].复旦学报(自然科学版),2008,47(2):213-219. |
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| 作者姓名： | 宋永安 陆立强 |
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| 作者单位： | 复旦大学,数学科学学院,上海,200433 |
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| 摘 要： | 基于即期利率随机过程,利用非参数核估计法,建立非参数利率期限结构动态模型.以国债回购利率数据为样本,对模型进行了实证研究,并与参数化模型Vasciek模型和CIR模型作了比较.最后给出了非参数模型计算债券期权定价的例子.
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| 关 键 词： | 利率期限结构 非参数模型 衍生品定价 |
| 文章编号： | 0427-7104(2008)02-0213-07 |
| 修稿时间： | 2007年7月3日 |
Nonparametric Modeling of Interest Rate Term Structure Dynamics and the Pricing of Derivative Securities |
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| SONG Yong-an,LU Li-qiang.Nonparametric Modeling of Interest Rate Term Structure Dynamics and the Pricing of Derivative Securities[J].Journal of Fudan University(Natural Science),2008,47(2):213-219. |
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| Authors: | SONG Yong-an LU Li-qiang |
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| Abstract: | It develops a nonparametric model of interest rate term structure dynamics based on a spot rate process.Treasury bonds repurchasing interest rates by Shanghai Security Exchange are sampled as source data.Empirical test has been conducted with the established nonparametric interest rate term structure,and compared with the typical parametric models,i.e.Vasicek model and the CIR model,and an example of the nonparametric prices for bond options is given. |
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| Keywords: | term structure of interest rate nonparametric model pricing of derivative securities |
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