在CKLS(Chan K,Kalolyi F,Longstaff F,et al.An empirical comparison of alternative models of the short-term interest rate,Journal of Finance,1992,47(3):1209—1227)的扩展框架下,以中国银行间债券市场国债回购利率R007的日数...在CKLS(Chan K,Kalolyi F,Longstaff F,et al.An empirical comparison of alternative models of the short-term interest rate,Journal of Finance,1992,47(3):1209—1227)的扩展框架下,以中国银行间债券市场国债回购利率R007的日数据为样本,对五个短期利率模型进行了最优估计、模型选择和参数偏差校正,并将估计得到的最优模型的参数用于对认股权证定价模型.对长江电力认股权证(CWB1)的实际估价结果表明,在认股权证定价模型中允许利率的随机变动,用本文所得到的最优动态利率模型估计短期利率,与假定利率固定不变的情形相比,可以得到与市场价格更为接近的权证估价结果,相对估价误差也要小得多.展开更多
文摘在CKLS(Chan K,Kalolyi F,Longstaff F,et al.An empirical comparison of alternative models of the short-term interest rate,Journal of Finance,1992,47(3):1209—1227)的扩展框架下,以中国银行间债券市场国债回购利率R007的日数据为样本,对五个短期利率模型进行了最优估计、模型选择和参数偏差校正,并将估计得到的最优模型的参数用于对认股权证定价模型.对长江电力认股权证(CWB1)的实际估价结果表明,在认股权证定价模型中允许利率的随机变动,用本文所得到的最优动态利率模型估计短期利率,与假定利率固定不变的情形相比,可以得到与市场价格更为接近的权证估价结果,相对估价误差也要小得多.
基金supported by National Natural Science Foundation of China(71561012)Key Program of National Social Science Foundation of China(13AJL008)+4 种基金Humanity and Social Science Foundation of High School of Jiangxi Province(TJ1302)Foundation of Jiangxi University of Finance and Economicsthe Natural Science Foundation for Colleges and Universities in Jiangsu Province(13KJD110009)the Jiangsu Qing Lan Project for Excellent Young Teachers in University(2014)XZIT(XKY2013202)
