| 随机期限结构与国债定价模型 |
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| 引用本文： | 吴硕思.随机期限结构与国债定价模型[J].中国管理科学,1999,7(1):13-20. |
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| 作者姓名： | 吴硕思 |
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| 作者单位： | 华侨大学管理信息科学系 福建泉州 362011 |
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| 摘 要： | 假设债价扩散函数v(t,T)为时间t的二次函数,是利用风险中性方法建立随机期限结构模型的关键;而随机期限结构模型又是建立债券定价模型的基础。本文不但介绍了有关的理论模型,而且利用我国国债市场的价格数据进行实证研究,建立了具体的瞬态年利率随机期限和国债961的定价模型。
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| 关 键 词： | 瞬态利率 随机期限结构 定价模型 |
| 收稿时间： | 1998-07-20; |
| 修稿时间： | 1998-07-20 |
Stochastic Term Structure and Bond Pricing Models |
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| WuShuosi.Stochastic Term Structure and Bond Pricing Models[J].Chinese Journal of Management Science,1999,7(1):13-20. |
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| Authors: | WuShuosi |
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| Institution: | Dept. of Management information Science, Hua Qiao University, Quanzhou |
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| Abstract: | Assumption that diffusion function of zero-coupon bond’s price is quadratic function of time is the key for modeling stochastic term structure with risk-neutral approach, and stochastic term structure model is the basis for bond pricing models. Not only theoretic models but also empirical studies with historical data from the bond market of China, as well as a specific annual spot rate stochastic term structure model and a pricing model for Bond 961 are introduced in this paper. |
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| Keywords: | spot interest rate stochastic term structure pricing model |
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