最小熵鞅测度下的半马氏市道轮换利率模型

Semi-Markov regime switching interest rate models under minimal entropy martingale measure

讨论零息债券价格演变,基于Ho-Lee模型,应用无套利原理和鞅测度方法,建立离散时间半马氏过程控制的市道轮换下的二叉树期限结构模型.运用最小熵鞅测度处理上述模型,并在马氏和半马氏市道下给出模型在欧式债券期权定价方面的应用.

In this paper,we discussed the evolution of the prices of zero-coupon. On the basis of Ho-Lee model,a discrete time regime switching binomial model of the term structure where the regime switches are governed by a discrete time semi-Markov process is introduced by applying the arbitrage free principle and martingale measure method. This paper use minimal entropy martingale measure（ MEMM） to deal with the above model,and give an application to the pricing of a European bond option in Markov and semi-Markov regime switching framework.