摘要
可提前还款的定期贷款是隐含着期权的利率衍生物,本文建立CIR利率模型下可提前还款的定期贷款的数学模型,通过离散偏微分方程,建立了模型的计算方法,讨论了随机利率对提前还贷的影响．
Time loan which can be prepaid is a derivative which embedded with a option. In this paper, the model of this kind of loan is established. Solve the problem by differencing the partial differential equation. The influence of stochastic interest rate to repay is discussed.
出处
《应用数学与计算数学学报》
2006年第2期104-108,共5页
Communication on Applied Mathematics and Computation
基金
国家自然基金项目NSF10371088
上海市教育委员会E-研究院建设计划项目E03004资助
关键词
提前还贷
随机利率
隐含期权
违约金
giving back loan forward, stochastic interest rate, implied options, default penalty
