债券定价的离散时间仿射模型群

一、引言传统的债券定价方法—未来现金流量贴现法 ,是由美国的威廉姆斯 (Ｗｉｌｌｉａｍｓ .ＪｏｈｎＨｅｎｒｙ)根据现值理论推导而来的 ,曾被广大投资者用来作为衡量债券投资价值的方法。然而 ,该模型由于贴现率的选取没有确定的标准 ,具有比较大的随意性 ,因而导致所计算的债券价格也表现出较大的随意性 ,逐渐暴露其不足之处。随着利率期限结构理论的不断发展 ,债券定价方法也相应地获得了很大的进展。尤其是最近十几年来出现了利率期限结构的随机过程无套利分析方法 ,该方法认为利率期限结构和债券价格同某些随机因素 (即状态变量 )相…

Discrecte Time Affine Model Group of Pricing Bond

In this paper, we put forward a class of discrete-time affine models on bond pricing. In the models class, we suppose the dynamics of the vector of state variables follow a first-order vector autoregressive stochastic process and the pricing kernel is taken the reform of affine function of the state variables. Then we derive the discrete-time affine models on zero-coupon bond pricing with different maturities. Finally, we list some special examples which come from the class of discrete-time affine models, including a few well-known interest and bond price term structure models.