Heath-Jarrow-Morton模型的二叉树解

The Binomial Tree Solution of Heath-Jarrow-Morton Model

对HJM模型的基本结构进行了研究,将二叉树应用于HJM单因素模型对债券进行数值计算,并且对二叉树下的债券价格与普通利率贴现的价格进行了比较.

This article investigates the Heath-Jarrow-Morton term structure model,then fit a binomial tree to the one-factor Heath-Jarrow-Morton model and makea numerical computation for bond price ,We compare this price with the price by discounting rates.