广西师范大学学报（自然科学版）2016，Vol.34Issue(3)：74-85,12.DOI:10.16088/j.issn.1001-6600.2016.03.011
基于仿射跳扩散模型的利率衍生品定价
Pricing of Interest Rate Derivatives Based on Affine Jump Diffusion Model
摘要
Abstract
The pricing of interest rate derivatives is considered under an affine j ump diffusion model. Using the Fourier transform method and the forward measure change technique,the closed explicit formulas for both the price of the default-free,zero-coupon bond and the value of the European options on the default-free,zero-coupon bond are obtained.Furthermore,pricing problems on both the European option on the coupon bond and the interest rate options are extended in this model by applying these explicit formulas above.Finally,the impacts of the key parameters in this model on prices for both the bond and bond option,and implied volatilities of bond options are analyzed by numerical examples, respectively.Numerical results show that the j ump risks have more remarkable effects on the interest rate derivative prices and implied volatility,which show that the affine j ump diffusion term structure model of the interest rate fits reality well.关键词
仿射跳扩散模型/利率期限结构/债券期权/Fourier变换/隐含波动率Key words
affine j ump diffusion model/term structure of interest rate/bond options/Fourier transform/implied volatility分类
数理科学引用本文复制引用
汪嘉骎,邓国和..基于仿射跳扩散模型的利率衍生品定价[J].广西师范大学学报（自然科学版）,2016,34(3):74-85,12.基金项目
国家自然科学基金资助项目(11461008) （11461008）
教育部人文社会科学研究规划基金资助项目(13YJA910003) （13YJA910003）
广西自然科学基金资助项目(2013GXNSFAA019005) （2013GXNSFAA019005）
广西高等学校科学技术研究重点项目(2013ZD010) （2013ZD010）
