摘要
本文通过引入转移概率参数,证明了短期利率满足的一般动态变化方程,建立了离散形式的利率期限结构模型,讨论求解方法,从而拓展了BDT模型。同时,探讨了模型的理论应用,给出了息票国债与基于息票国债的欧式期权定价公式。最后,对BDT数例进行了校正,并针对息票国债,提出了一种新的定价方法,且进行了实证研究。
By introducing the transition probability parameter, we show that the general dynamic equation for which short interest rate satisfies and set up the discrete term structure model, which extends BDT model. At the same time, we discuss the theory application of the model and give the pricing formula of coupon treasuries and European option pricing formula on coupon treasuries. Finally, we calibrate the numerical example of BDT, and propose a new pricing approach and make an empirical comparison for coupon treasuries.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2005年第2期87-94,共8页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金项目资助(70372011)
高校博士点专项科研基金项目资助(2003006009)。
关键词
短期利率
BDT模型
二叉树
欧式期权
Short Interest Rate
BDT Model
Binomial Trees
European Option
