| 利率衍生品定价可行性模型 |
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| 引用本文： | 江良,林鸿熙.利率衍生品定价可行性模型[J].应用泛函分析学报,2014(1):10-17. |
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| 作者姓名： | 江良 林鸿熙 |
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| 作者单位： | [1]莆田学院数学学院,福建351100 [2]莆田学院商学院,福建351100 |
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| 基金项目： | 国家自然科学基金（11001142）;福建省社科规划项目（20128023）;福建省教育厅项目（JA09201）;福建省自然科学基金（2013J01015） |
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| 摘 要： | 众所周知,Vasicek短期利率模型,由于可取负的利率,使得利率衍生物定价计算具有不稳定现象,并引起业界对它的定价的可信度产生怀疑.该文指出只需以息票作为新的计价单位（Benchmark）,利率衍生物定价计算不稳定现象就可避免,为了说明定价的可行性,将在随机利率条件下以欧式看涨期权为例,通过数值方法对Vasicek和CIR这两类利率模型衍生物定价的误差进行分析.
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| 关 键 词： | Vasicek模型 CIR模型 计价单位 数值方法 |
Parameter Estimation and Models Comparison for Interest Rate Models Based on Coupon Market-data |
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| JIANG Liang,LIN Hongxi.Parameter Estimation and Models Comparison for Interest Rate Models Based on Coupon Market-data[J].Acta Analysis Functionalis Applicata,2014(1):10-17. |
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| Authors: | JIANG Liang LIN Hongxi |
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| Institution: | 1.School of Mathematics, Putian University, Fujian 351100, China; 2. School of Business, Putian Univeristy, Fujian 351100, China) |
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| Abstract: | It is well known that the numerical method for pricing derivatives would become unstable when a positive probability for negative interest rate comes into being in Vasicek model. Thus the industry doubts the credibility of the pricing for Vasicek model. This paper indicates that the unstable phenomena could be avoided if coupon was applied as Benchmark. In order to illustrate the feasibility of pricing, we take European call-option under stochastic interest for example and analyze the deviation between Vasicek and CIR models by numerical method. |
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| Keywords: | Vasicek model CIR model Benchmark numerical method |
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