| 双指数跳CIR利率模型下无违约零息票债券定价 |
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| 引用本文： | 古洋波.双指数跳CIR利率模型下无违约零息票债券定价[J].重庆职业技术学院学报,2014(5):145-147. |
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| 作者姓名： | 古洋波 |
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| 作者单位： | 广西师范大学数学与统计学院,广西桂林541004 |
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| 摘 要： | 重大事件和重大政策会导致利率的不连续波动,传统的CIR利率模型不能体现这一特征。将双指数跳跃加入到CIR利率模型,利用公式,在双指数跳CIR利率模型模型中,可以对无风险零息票债券进行定价。
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| 关 键 词： | 双指数跳 CIR利率模型 公式 |
Zero Coupon Bond Pricing without Default under the Double Exponential Jump CIR Interest Rate Model |
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| GU Yangbo.Zero Coupon Bond Pricing without Default under the Double Exponential Jump CIR Interest Rate Model[J].Journal of Chongqing Vocational& Technical Institute,2014(5):145-147. |
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| Authors: | GU Yangbo |
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| Institution: | GU Yangbo (School of Mathematics and Statistics, Guangxi Normal University, Guilin Guangxi 541004, China) |
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| Abstract: | Great it cannot be reflected the CIR interest rate can be priced. events and major policy can lead to uncontinuous fluctuations in interest rate; however, in the traditional CIR interest rate model. If the double exponential jump is added into model, and the formula of Feynman-Kac is adopted, the zero coupon bond without risk |
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| Keywords: | double exponential jump CIR interest rate model formula of Feynman-Kac |
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