| 推广的Vasicek利率模型在衍生证券定价分析中的应用 |
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| 引用本文： | 王亚伟,黎锁平,江洪. 推广的Vasicek利率模型在衍生证券定价分析中的应用[J]. 甘肃科学学报, 2008, 20(2): 149-152 |
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| 作者姓名： | 王亚伟 黎锁平 江洪 |
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| 作者单位： | 兰州理工大学,运筹与控制研究所,甘肃,兰州730050 |
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| 基金项目： | 兰州理工大学优秀中青年科研基金 , 兰州理工大学博士启动基金 |
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| 摘 要： | 在分析Vasicek利率模型的基础上，将利率的长期均值，瞬时波动率和均值回复率为常数的情形推广为随时间t而变化的确定性函数，得到一种新的Vasicek利率模型．利用Ito引理和构建债券组合策略求得推广的Vasicek利率模型下债券价格满足的偏微分方程，进而得出了该模型下到期日为T，到期时支付1元的折价债券定价模型及债券选择权．
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| 关 键 词： | 折价债券 Ito过程 VASICEK利率模型 标准Wiener过程 |
The Extended Vasicek Interest Model in Derivative Security Pricing with Its Applications |
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| WANG Ya-wei,LI Suo-ping,JIANG Hong. The Extended Vasicek Interest Model in Derivative Security Pricing with Its Applications[J]. Journal of Gansu Sciences, 2008, 20(2): 149-152 |
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| Authors: | WANG Ya-wei LI Suo-ping JIANG Hong |
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| Affiliation: | Institute of Operations Research and Control;Lanzhou University of Science and Technology;Lanzhou 730050;China |
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| Abstract: | Based on analyzing the Vasicek stochastic interest model,we transform the long-run mean,the fluctuation rate and the mean restoration which are constant into fixed functions about t.In this assumption,we build a new model by solving a partial differential equation based on the Extended Vasicek interest model.Furthermore,we give the bond-pricing formula of discounted bond-choose with a face time T and pay one Yuan by using Ito Lemma and build the constitute of the bond. |
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| Keywords: | discount bond Ito process Vasicek interest model standard Wiener process |
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