| Hull-White利率模型仿真与债券估值 |
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| 引用本文： | 陈 勇,邓 坤.Hull-White利率模型仿真与债券估值[J].经济数学,2015(4):12-15. |
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| 作者姓名： | 陈 勇 邓 坤 |
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| 作者单位： | （湖南大学 金融与统计学院，湖南 长沙 410079） |
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| 摘 要： | 应用Vasicek模型和Nelson-Siegel模型估计Hull-White利率模型的参数,运用蒙特卡洛方法模拟利率路径,根据利率路径估计中国国债的价值,并进行敏感性分析.结果表明,运用蒙特卡洛方法模拟Hull-White利率模型,具有计算简单和运算速度快的特点,且债券估值的结果较为精确.该方法可广泛地应用于债券及其衍生品的定价分析.
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| 关 键 词： | 利率期限结构 Hull-White模型 蒙特卡洛 |
Simulation of Hull-White Model and Bond Pricin |
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| CHEN Yong,DENG Kun.Simulation of Hull-White Model and Bond Pricin[J].Mathematics in Economics,2015(4):12-15. |
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| Authors: | CHEN Yong DENG Kun |
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| Institution: | (College of Finance and Statistics, Hunan University, Changsha, Hunan 410079, China) |
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| Abstract: | This paper used the Vasicek model and the Nelson-Siegel model to estimate the parameters of Hull-White model,and simulated the Hull-White term structure model. The theoretical prices of sample bonds were priced through the Monte Carlo simulation methods. We conducted a sensitivity analysis. It is shown that simulation-based method is more precise than the three-tree one to price bonds. |
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| Keywords: | term structure of interest rates Hull-white model Monte Carlo simulation |
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