| 两要素利率期限结构模型下债券期权的定价 |
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| 引用本文： | 吴恒煜,张学斌. 两要素利率期限结构模型下债券期权的定价[J]. 系统工程, 2004, 22(12): 63-66 |
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| 作者姓名： | 吴恒煜 张学斌 |
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| 作者单位： | 1. 中山大学,管理学院,博士后流动站,广东,广州,510275;广东商学院,广东,广州,510320
2. 中山大学,管理学院,博士后流动站,广东,广州,510275 |
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| 基金项目： | 中国博士后基金资助项目(2004037615),广东省教育厅人文社会科学研究基金资助项目(02SJC790002),广东省哲学社会科学"十五"规划资助项目(03/04C2-13) |
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| 摘 要： | 基于经验证据并为了弥补存在模型缺点,提出短期利率与短期利率均值均为随机变量的两要素的利率期限结构模型,解出折现债券的定价公式,在此基础上,进一步给出债券期权、债券期货期权、债券远期期权的定价公式。
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| 关 键 词： | 利率期限结构 两要素模型 帖现债券 |
| 文章编号： | 1001-4098(2004)12-0063-04 |
Pricing of Discount Bond Option in a Two-factor Model of the Term Structure of Interest Rates |
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| WU Heng-yu. Pricing of Discount Bond Option in a Two-factor Model of the Term Structure of Interest Rates[J]. Systems Engineering, 2004, 22(12): 63-66 |
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| Authors: | WU Heng-yu |
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| Affiliation: | WU Heng-yu~ |
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| Abstract: | This paper presents a two-factor model of term structure of interest rates in which both the short and its short (term) mean are assumed to be stochastic. The choice of the two factors is based on empirical evidence and tries to remedy the theoretical shortcoming of existing model. In this assumption, this paper gives the pricing formula of bond option. (Furthermore,) and gives the pricing formulas of options on bond, options on bond forward and futures contracts. |
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| Keywords: | Term Structure of Interest Rates Two-factor Model Discount Bond |
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