单因素利率模型的实证比较--基于模拟定价的视角  

Empirical Study and Comparison of the Single-factor Models——Based on the Virtual Pricing Perspective

作　　者：吴恒煜[1,2] 陈鹏[1] 

机构地区：[1]江西财经大学金融学院,江西南昌330013 [2]中山大学管理学院,广东广州510275

出　　处：《山西财经大学学报》2009年第3期90-97,共8页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金项目(70861003);教育部人文社会科学一般项目(06JA790025);江西省教育厅科技计划项目(赣教技字[2007]261号);江西省教育厅教改重点项目(JXJG-O7-4-7);江西财经大学“金融深化过程中信用风险的测度与控制”创新团队基金项目(江财科研字[2005]4号)

摘　　要：首先,选取银行间国债隔夜回购利率,采用极大似然方法对常用的单因素利率模型进行了参数估计。然后,采用蒙特卡罗模拟方法对我国上海证券交易所的19只国债进行了模拟定价,并与真实市场价格进行了比较。结果发现,模拟的债券价格与真实市场价格相差较大,其主要原因是由于单因素利率模型无法描述我国市场上的流动性溢价。此外,在对随机利率条件下的股票欧式看涨期权模拟定价中发现,GBM模型价格明显偏高,Vasicek模型价格明显偏低;在对零息债券的欧式看涨期权模拟定价中发现,两者表现恰好相反。This paper selects inter - bank overnight bond repurchase rate and estimate parameters in some popular single - factor models by maximum likehhood method, then simulates prices of 19 bonds which exchange on the Shanghai Stock Exchange Market by Monte Carlo simulation. They are different greatly in comparison with market prices, which due to the lack of liquidity premium description. At the same time, when pricing stock European call option on the condition of stochastic interest rates, the authors find it＇s obviously high in the GBM hypothesis and obviously low in the Vasicek hypothesis. When comes to zero coupon bonds European call option, the result reverses.

关 键 词：单因素利率模型 极大似然估计 利率期限结构 蒙特卡罗模拟方法 

分 类 号：F830[经济管理—金融学] F224.0