| 住房抵押贷款支持证券的微分方程定价及有限差分解法 |
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| 引用本文： | 施方.住房抵押贷款支持证券的微分方程定价及有限差分解法[J].上海大学学报(自然科学版),2002,8(4):348-352. |
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| 作者姓名： | 施方 |
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| 作者单位： | 上海大学理学院,上海,200436 |
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| 摘 要： | 作为一种利率衍生证券 ,住房抵押贷款支持证券的定价与利率的变化有密切的关系 .该文运用随机过程对利率行为进行描述 ,对一般衍生证券微分方程进行深入探讨 ,在此基础上建立了住房抵押贷款支持证券价格的微分方程 ,并探讨了该方程的有限差分解法 .最后给出了一些数值结论
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| 关 键 词： | 住房抵押贷款支持的证券 随机过程 有限差分法 |
| 文章编号： | 1007-2861(2002)04-0348-05 |
| 修稿时间： | 2001年12月15 |
Differential Equation and Finite Difference Methods for Pricing the Mortgage-Backed Securities |
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| SHI,Fang.Differential Equation and Finite Difference Methods for Pricing the Mortgage-Backed Securities[J].Journal of Shanghai University(Natural Science),2002,8(4):348-352. |
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| Authors: | SHI Fang |
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| Abstract: | As an interest derivative, the value of an mortgage backed security (MBS) is closely related to the interest rate. This paper describes the interest behavior using stochastic process. The differential equation for general derivatives is studied in detail, and a differential equation method for pricing MBSs based on this equation is established. Also, a finite difference method is used to solve the equation, and numerical results are presented. |
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| Keywords: | mortgage backed securities stochastic process finite difference method |
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