【摘要】 在给定风险价格的条件下,利用无套利原则,求出单因子利率模型所满足的偏微分方程;并通过求解基于V asicek模型的偏微分方程,得出该模型下的零息票债券价格.并进一步推广至扩展型V asicek模型,得出在此模型下的零息票债券价格.更多还原

【Abstract】 Under condition of giving the price of riskby using no arbitrage rule-we derive the partial differential equation(pde) that the single-factor interest rate models satisfy;Moreover,by means of solving pde based on the Vasicek model,we educe the zero coupon bond price of the model.Furthermore,we extend to extended Vasicek model and give the zero coupon bond price of the model.更多还原