应用数学2010，Vol.23Issue(4)：890-896,7.
基于利率的期限结构模型的债券价格过程的分形性质
Fractal Property of the Bond-price Process in Term Structure Models for Interest Rates
摘要
Abstract
In this paper,we study the bond-price process in the term structure model of interest rates proposed by Ref.[4](KENNEDY D P.The term structure of interest rates as a Gaussian ran dom field[J].Mathematical Finance,1994,4(3):247-258)and obtain that the bond-price curve is a fractal with Hausdorff dimension 3/2.关键词
债券价格过程/分形性质/期限结构模型Key words
Fractal property/Bond-price process/Term structure models分类
数理科学引用本文复制引用
余东,张娜..基于利率的期限结构模型的债券价格过程的分形性质[J].应用数学,2010,23(4):890-896,7.基金项目
Supported by the Office of Hubei Province Key Laboratory of Systems Science in Met allurgical Process(C201008) （C201008）
