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基于Ho-Lee模型,讨论零息债券价格的演变,应用无套利原理和鞅测度的方法,建立了一个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Tsallis熵鞅测度(the minimal Tsallis entropy martingale measure,MTEMM)处理上述模型,并在马氏和半马氏市道下给出在欧式债券期权定价方面的应用.研究发现模型结果与最小熵鞅测度下的结果具有一致性.
Based on the Ho-Lee model, the evolution of zero-coupon bond prices is discussed. By using the method of no-arbitrage principle and martingale measure, a dead-tree binary tree structure is constructed under market rotation with discrete-time Semi-Markov process. (MTEMM) is used to deal with the above model, and the application of European bond option pricing under Markov and Semi-Martian markets is given.The results show that the results of the model and the minimum entropy martingale measure have consistency.