摘要
对于固定收益产品定价这个问题已经有很多种方法,将从另外一种角度来考虑这个问题,先通过T ay lor展开得到一个双曲型的偏微分方程,利用这个方程可以求出未定权益组合的最好最坏情景下的价格,然后再利用市场上已有的产品对此未定权益静态对冲,将会得到一个收益率曲线包络.
There are many theories and models underlying the valuation of fixed secrities portfolios. This paper addresses the problem from a new perspective. We will get a hyperbolic partial differential equation through Taylor expansion to find best and worst value of a portfolios of cash flows. We then reduce the spread between best value and worst value by static hedging,and we will include a yield envelope.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第9期22-27,共6页
Mathematics in Practice and Theory
基金
国家自然科学基金项目"Markov过程的游离理论及其应用"(NSFC10771131)
