| 基于扩展型Vasicek模型的零息票债券定价 |
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| 引用本文： | 陈盛双,姚志鹏. 基于扩展型Vasicek模型的零息票债券定价[J]. 太原师范学院学报(自然科学版), 2006, 5(3): 73-76 |
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| 作者姓名： | 陈盛双 姚志鹏 |
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| 作者单位： | 武汉理工大学,理学院,湖北,武汉,430070 |
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| 摘 要： | 在给定风险价格的条件下,利用无套利原则,求出单因子利率模型所满足的偏微分方程;并通过求解基于Vasicek模型的偏微分方程,得出该模型下的零息票债券价格．并进一步推广至扩展型Vasicek模型,得出在此模型下的零息票债券价格．
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| 关 键 词： | 利率期限结构 Vasicek模型 无套利 零息票债券价格 |
| 文章编号： | 1672-2027（2006）03-0073-04 |
| 收稿时间： | 2006-06-19 |
| 修稿时间： | 2006-06-19 |
Pricing the Zero Coupon Bond Price Based on the Extended Vasicek Model |
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| Chen Shengshuang,Yao Zhipeng. Pricing the Zero Coupon Bond Price Based on the Extended Vasicek Model[J]. Journal of Taiyuan Normal University:Natural Science Edition, 2006, 5(3): 73-76 |
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| Authors: | Chen Shengshuang Yao Zhipeng |
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| Affiliation: | School of Natural Sciences ,Wuhan University of Technology,Wuhan 430070,China |
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| Abstract: | Under condition of giving the price of riskby using no arbitrage rule-we derive the partial differential equation(pde) that the single-factor interest rate models satisfy;Moreover,by means of solving pde based on the Vasicek model,we educe the zero coupon bond price of the model.Furthermore,we extend to extended Vasicek model and give the zero coupon bond price of the model. |
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| Keywords: | term structure of interest rate Vasicek model no arbitrage zero coupon bond price |
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