双指数跳CIR利率模型下无违约零息票债券定价

Zero Coupon Bond Pricing without Default under the Double Exponential Jump CIR Interest Rate Model

重大事件和重大政策会导致利率的不连续波动,传统的CIR利率模型不能体现这一特征。将双指数跳跃加入到CIR利率模型,利用公式,在双指数跳CIR利率模型模型中,可以对无风险零息票债券进行定价。

Great it cannot be reflected the CIR interest rate can be priced. events and major policy can lead to uncontinuous fluctuations in interest rate; however, in the traditional CIR interest rate model. If the double exponential jump is added into model, and the formula of Feynman-Kac is adopted, the zero coupon bond without risk