[1]柳向东,王星蕊.最小熵鞅测度下的半马氏市道轮换利率模型[J].深圳大学学报理工版,2016,33(2):154-163.[doi:10.3724/SP.J.1249.2016.02154]
 Liu Xiangdong and Wang Xingrui.Semi-Markov regime switching interest rate models under minimal entropy martingale measure[J].Journal of Shenzhen University Science and Engineering,2016,33(2):154-163.[doi:10.3724/SP.J.1249.2016.02154]
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最小熵鞅测度下的半马氏市道轮换利率模型()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第33卷
期数:
2016年第2期
页码:
154-163
栏目:
数学与应用数学
出版日期:
2016-03-20

文章信息/Info

Title:
Semi-Markov regime switching interest rate models under minimal entropy martingale measure
文章编号:
201602008
作者:
柳向东王星蕊
暨南大学经济学院,广东广州 510632
Author(s):
Liu Xiangdong and Wang Xingrui
College of Economics, Jinan University, Guangzhou 510632, Guangdong Province, P.R.China
关键词:
应用统计数学Ho-Lee模型无套利方法二叉树模型利率期限结构最小熵鞅测度债券期权定价
Keywords:
application of statistical mathematics Ho-Lee model arbitrage free method binary tree model term structure of interest rate minimal entropy martingale measure bond option pricing
分类号:
O 211.9
DOI:
10.3724/SP.J.1249.2016.02154
文献标志码:
A
摘要:
讨论零息债券价格演变,基于Ho-Lee模型,应用无套利原理和鞅测度方法,建立离散时间半马氏过程控制的市道轮换下的二叉树期限结构模型.运用最小熵鞅测度处理上述模型,并在马氏和半马氏市道下给出模型在欧式债券期权定价方面的应用.
Abstract:
In this paper, we discussed the evolution of the prices of zero-coupon. On the basis of Ho-Lee model, a discrete time regime switching binomial model of the term structure where the regime switches are governed by a discrete time semi-Markov process is introduced by applying the arbitrage free principle and martingale measure method. This paper use minimal entropy martingale measure (MEMM) to deal with the above model, and give an application to the pricing of a European bond option in Markov and semi-Markov regime switching framework.

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[25] 柳向东, 郭慧. 基于市道轮换模型的SHIBOR市场利率[J]. 深圳大学学报理工版, 2015, 32(3): 317-323.
Liu Xiangdong, Guo Hui. Research of market interest rates of the SHIBOR based on regime switching model[J]. Journal of Shenzhen University Science and Engineering, 2015, 32(3):317-323.(in Chinese)

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备注/Memo

备注/Memo:
Received:2015-11-08;Accepted:2016-01-10
Foundation:National Natural Science Foundation of China(71471075) ; Humanities and Social Science Foundation of Ministry of Education of China(14YJAZH052)
Corresponding author:Professor Liu Xiangdong. E-mail: tliuxd@jnu.edu.cn
Citation:Liu Xiangdong,Wang Xingrui. Semi-Markov regime switching interest rate models under minimal entropy martingale measure[J]. Journal of Shenzhen University Science and Engineering, 2016, 33(2): 154-163.(in Chinese)
基金项目:国家自然科学基金资助项目(71471075);教育部人文社会科学研究资助项目(14YJAZH052)
作者简介:柳向东(1973—),男,暨南大学教授、博士生导师. 研究方向:概率统计在经济金融领域的应用研究. E-mail: tliuxd@jnu.edu.cn
引文:柳向东,王星蕊. 最小熵鞅测度下的半马氏市道轮换利率模型[J]. 深圳大学学报理工版,2016,33(2):154-163.
更新日期/Last Update: 2016-03-04