基于LMM的美式可赎回债券定价研究  

Valuing American Callable Bond Based on Libor Market Model

作　　者：李勇飞[1] 侯志强[1] 

机构地区：[1]北方工业大学经济管理学院,北京100144

出　　处：《北方工业大学学报》2013年第1期60-66,共7页Journal of North China University of Technology

摘　　要：由于美式利率衍生品对描述利率期限结构模型要求较高,因此LIBOR市场模型(LMM)等无套利模型便得到了交易员的青睐.本文介绍了远期利率模型LIBOR市场模型(LMM),并假定远期利率服从LIBOR市场模型,然后通过一个例子说明美式可赎回债券的定价过程.其做法是在LMM框架下设定模型中的参数值,将LMM离散化,利用蒙特卡洛模拟法模拟LIBOR路径,利用最小二乘法估计持有债券期权的价值,从而通过逐步模拟确定可赎回债券的价格.Since valuing American interest rate derivatives needs more accurate term structure of interest rates, Libor Market Model is widely used by traders. The aim of this article is to introduce LMM, assuming that forward interest rate changes according to LMM, and an example is presented by valuing American callable bond by using Least Square Monte Carlo Approach. The procedure is as follows： giving parameters of LMM, discretizing LMM, simulating LMM through Monte Carlo Approach, evaluating American callable bond option, and finally, determining Ameri- can callable bond price by simulating backward step by step.

关 键 词：LIBOR市场模型(LMM) 最小二乘蒙特卡洛模拟 可赎回债券 

分 类 号：F830.591[经济管理—金融学]