Hull-White模型下欧式互换期权定价  

European swaption pricing under Hull-White model

作　　者：王茜[1] 张宏波 林新艳 WANG Xi;ZHANG Hong- bo;LIN Xin- yan(Department of Basic Research , Henan University of Animal Husbandry and Economy, Zhengzhou 450008 , China;School of Mathematics and Statistics , Henan Institute of Finance and Banking, Zhengzhou 450046 , China;Dongxing Capital, Dongxing Securities Co. Ltd. , Beijing 100007 , China)

机构地区：[1]河南牧业经济学院基础教研部,河南郑州450008 [2]河南财政金融学院数学与统计学院,河南郑州450046 [3]东兴证券股份有限公司东兴资本,北京100007

出　　处：《南阳师范学院学报》2017年第12期12-16,共5页Journal of Nanyang Normal University

基　　金：河南省科技攻关计划项目(172102210242)

摘　　要：采用Hull-White模型,通过Crank-Nicolson有限差分法来对欧式互换期权进行分析和定价,从相对常见的衍生品的定义和定价模型出发,最终给出欧式互换期权的定价结果.Using Hull - White model, analyzes and prices european swaption via Crank - Nicolson finite differ-ence method. The definitions and pricing model of relatively common derivatives are introduced to get the resultof european swaption valuation.

关 键 词：利率模型 互换期权 有限差分法 HULL-WHITE模型 

分 类 号：O29[理学—应用数学]