在均值为离散跳跃过程下债券定价的方法  

The Method about the Bond-Pricing with Mean Is a Discontinuous Jump Process

作　　者：刘翠桃[1] 刘洪运[1] 

机构地区：[1]商丘职业技术学院,河南商丘476100

出　　处：《河南科学》2009年第8期909-912,共4页Henan Science

基　　金：河南省教育厅自然科学计划项目(2008C520006)

摘　　要：发行商业债券是企业融资的主要途径,因此债券受利率的计算或债券定价就成为企业和投资者十分关心的问题,vasicek假设利率的长期均值θ为常数给出了定价公式,但实际生活中,θ不是常数,假设θ是一个离散跳跃过程,在此假设下,运用Ito引理和无套利原理求解债券的定价公式.To issue commercial bonds are the primary means of corporate hnance, so the calculation ot bond yields or bond pricing companies and investors have become very concerned about the assumption that the long-term interest rates vasicek mean θ is a constant given the pricing formula, but real life is not constant θ. The assumption that θ is a discrete jump process. In this assumption, the use of Ito＇s lemma and the principle of no-arbitrage bond pricing formula to solve.

关 键 词：无套利原理 债券定价 物价指数 离散跳跃过程 

分 类 号：O211.63[理学—概率论与数理统计]