基于CIR随机利率模型下期权定价的实证研究  

Demonstration of Option Pricing Based on the CIR Stochastic Interest Rate Model

作　　者：毛志娟[1] 梁治安[2] 

机构地区：[1]上海财经大学金融学院,上海200433 [2]上海财经大学应用数学系,上海200433

出　　处：《内蒙古大学学报（自然科学版）》2013年第3期266-272,共7页Journal of Inner Mongolia University：Natural Science Edition

基　　金：教育部科技创新工程重大项目培育资金项目(708040);国家自然科学基金项目(NSFC11271243);上海市浦江项目(11PJC059);"上海财经大学‘211工程’四期重点学科建设项目"资助

摘　　要：考虑当标的资产的价格过程服从几何布朗运动,并且利率过程满足均值回复的CIR过程时,欧式期权的定价问题.利用Δ-对冲和测度变换的鞅方法,推导出欧式期权的解析形式的闭式解.此外,用Monte Carlo方法求出期权数值解.同时,对比了数值解和解析解之间的不同.The pricing of European options is considered in the case that the underlying asset price follows the geometric Brownian motion with the stochastic rate process being the mean revers- ing process, CIR process. By applying the methods of A- hedging and equivalent martingale, i. e. , numeraire exchange,the closed form of pricing formulas is obtained. Furthermore a, Monte Carlo simulation is used to compute the numerical solution. Then the errors between these two solutions is compared.

关 键 词：期权定价 CIR过程 随机利率 零息债券 

分 类 号：F830.9[经济管理—金融学]