推广的Vasicek计算折价债券.pdf

20 2 Vol. 20 No. 2 200 6 Journal of Gansu Sciences Jun . 200 Vasicek 王亚伟, 黎锁平, 江 洪 ( , 730050) : 在分析Vasicek 利率模型的基础上, 将利率的长期均值, 瞬时波动率和均值回复率为常数 的情形推广为随时 t 而变化的确定性函数, 得到一种新的Vasicek 利率模型. 利用Ito 引理和构建 债券组合策略求得推广的Vasicek 利率模型下债券价格满足的偏微分方程, 进而得出了该模型下到 期日为T, 到期时支付 1元的折价债券定价模型及债券选择权. : 折价债券; Ito 过程; Vasicek 利率模型; 标准W iener 过程 : O211. 5 : A : 1004-0366( 200 ) 02-0149-04 The ExtendedVasicek Interest Model in Derivative Security Pricing with Its Applications WANG Ya-w ei, LI Suo-ping, JIANG Hong (I nstitute of Op erations Research and Control , L anz hou Univ ersity of S cience and T echnology , Lanz hou 730050, China) Abstract: Based on analyzing the V asicek stochastic interest model, we transform the long-run mean, the fluctuation rate and the mean restoration w hich are constant into fixed functions about t. In this assump- tion, w e build a new model by solving a partial differential equation based on the Extended Vasicek interest model. Furthermore, w e give the bond-pricing formula of discounted bond-choose w ith a face time T and pay one Yuan by using Ito Lemma and build the constitute of the bond. ey words: discount bond; Ito process; Vasicek interest model; standard Wiener process; , Vasicek[ 1] Cox , Ingersoll and Ross[ 2] , Vasicek . . , [ 3] 1 ( Longstarf and Schw artz) , , Vasicek Vasicek , , [ 3~ 4] . Va- , sicek , . V asicek Vasicek , r (t) [ 5] (t) , t , dr (t) = a( - r( t)) dt + d Wt , r (0) = 0,