摘要
假设债价扩散函数v(t,T)为时间t的二次函数,是利用风险中性方法建立随机期限结构模型的关键;而随机期限结构模型又是建立债券定价模型的基础。本文不但介绍了有关的理论模型,而且利用我国国债市场的价格数据进行实证研究,建立了具体的瞬态年利率随机期限和国债961的定价模型。
Assumption that diffusion function of zero--coupon bond's price is quadratic functionof time is the key for modeling stochastic term structure with risk--neutral approach, and stochastic termstructure model is the basis for bond pricing models. Not only theoretic models but also empirical studieswith historical data from the bond market of China, as well as a specific annual spot rate stochastic termstructure model and a pricing model for Bond 961 are introduced in this paper.
出处
《中国管理科学》
CSSCI
1999年第1期13-19,共7页
Chinese Journal of Management Science
关键词
国债
定价模型
期限结构
随机期限结构
spot interest rate, stochastic term structure, pricing model