评价利率期权的远期与即期模型的比较分析  

Compare analysis of forward and spot models for valuing interest-rate options

作　　者：谢赤[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082

出　　处：《管理科学学报》2001年第6期77-82,共6页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目 (79970 0 15);国家社会科学基金资助项目 (0 0 BJY0 13 )

摘　　要：对支持利率风险管理的利率期权评价模型进行比较分析 .采用了有关市场的数据来检验7个具有单因素与双因素的即期利率与远期利率模型 ,由此得到一个单因子远期利率模型与两个双因子模型 ,即期利率模型与其它The object of this article is to investigate the question of which interest rate options valuation models are better suited to support the management of interest rate risk. We test seven spot rate and forward rate models with one and two factor forward rate model for interest rate warrants for the period from 1990 to 1993 and identify a one factor forward rate model and two spot rate models with two factors that are not significantly outperformed by any of the other four models.

关 键 词：利率期权 远期利率 即期利率 评价模型 

分 类 号：F832.2[经济管理—金融学]