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鍒╃巼鐨勬湡闄愮粨鏋勬ā鍨?/p>
鎽樿锛?/p>
鏈枃璇曞浘鐢ㄦ渶绠�缁冨拰瀹规槗鐞嗚В鐨勮〃杩帮紝
浠嬬粛鍏充簬鏈熸潈瀹氫环鐨勯瀰鏂规硶鐨勪竴浜涗富瑕佹�濇兂浠?/p>
鍙婂熀鏈粨璁恒�?/p>
绋嶅井娑夊強鍒颁簡涓�浜涘亸寰垎鏂圭▼鐨勭煡璇嗭紝
浣嗗ぇ閮芥瘮杈冨鏄撶悊瑙ｃ�?/p>
涓昏鏄拡瀵归偅浜?/p>
骞朵笉鏄笓涓氱殑鐮旂┒鑰咃紝浣嗘槸浠嶇劧瀵规鎰熷叴瓒ｅ苟鎯充簡瑙ｆ湡鏉冨畾浠风悊璁虹殑璇昏�呫�?/p>
鍏抽敭璇嶏細
鏈熸潈瀹氫环
闉呮祴搴?/p>
鍒版湡锛堜氦鍓诧級
濂楁湡淇濆�?/p>
鏈畾鏉冪泭
Black-Scholes
妯″瀷鎶婂埄鐜囧亣瀹氫负涓�涓父閲忔垨鑰呯‘瀹氱殑鍑芥暟锛屽浜庣煭鏈熺殑绫昏偂绁?/p>
锛?/p>
stock-like
锛夎祫浜э紝瀹冩槸涓�绉嶅彲浠ユ帴鍙楃殑杩戜技銆備絾鏄紝瀵逛簬鍒╃巼鐨勮鐢熺墿锛屽畠鍗村苟涓嶆槸鍚堢悊
鐨勫亣璁撅紝
鍥犳鎴戜滑蹇呴』瑙ｅ喅杩欎釜闅忔満鍒╃巼鐨勯棶棰樸�?/p>
寤虹珛鍒╃巼鐨勬湡闄愮粨鏋勬ā鍨嬫湁鍑犵涓嶅悓鐨勬柟
娉曪紝瀹冧滑鍙互鍒嗕负涓ょ锛氱煭鏈熷埄鐜囨ā鍨嬪拰杩滄湡鍒╃巼妯″瀷銆傝繖涓ょ鏂规硶鍒嗗埆鐢?/p>
Vasicek
锛?/p>
1977
锛?/p>
鍜?/p>
Heath-Jarrow-Morton(1987,1992)
鏈�鏃╂彁鍑恒�?/p>
Flesaker
鍜?/p>
Hughston
鍦?/p>
1996
骞村紩鍏ヤ簡涓�绉嶆柊
鐨勬柟娉曞缓绔嬪埄鐜囩殑鏈熼檺缁撴瀯妯″瀷锛?/p>
鎴戜滑灏嗕粙缁嶈繖涓夌鏂规硶锛?/p>
鍏朵腑鍖呮嫭涓�浜涜憲鍚嶇殑妯″瀷锛?/p>
鑰屼笖
浼氬涓�浜涘埄鐜囪鐢熺墿鐨勫畾浠烽棶棰樿繘琛岀畝瑕佽璁恒�傛垜浠渷鐣ュ叧浜庝繚鍊肩殑璁ㄨ锛岃鑰呭彲鍙傞槄
Duffie(1996)
锛?/p>
p140-141
銆?/p>
Rogers
鍦?/p>
1997
骞存彁鍑轰簡鍏充簬鍒╃巼鐨勬湡闄愮粨鏋勫拰澶栨眹鍒╃巼鐨勨�滄綔鍦?/p>
鏂规硶锛?/p>
potential
approach
锛?/p>
鈥?/p>
锛屾垜浠笉浠嬬粛杩欎釜缁煎悎鎬ф柟娉曪紝鍥犱负瀹冨湪鏌愮绋嬪害涓婅秴鍑轰簡鎴戜滑
鐨勮寖鍥淬�?/p>
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0
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飦?/p>
涓婄殑浜?/p>
缁村竷鏈楄繍鍔?/p>
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锛岀敤
t
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琛ㄧず
B
鐨勮嚜鐒跺煙娴侊紙
natural filtration
锛?/p>
銆?/p>
鎴戜滑鑰冭檻涓�涓噾铻嶅競鍦猴紝
绉颁负鍊哄埜甯傚満锛?/p>
瀹冨寘鎷摱琛岀殑瀛樻鍜屾墍鏈夊彲鑳藉埌鏈熺殑璐寸幇鍊哄埜
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鎴栭浂鎭�哄埜
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锛堜篃灏辨槸涓�鍗曚綅鐨勯摱琛屽瓨娆撅級
銆?/p>
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鏃讹紝涓�涓?/p>
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鍊哄埜鐨勫埌鏈熸敹鐩婏紙鎴栫畝绉版敹鐩婏級瀹氫箟涓?/p>
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鏇茬嚎瀵逛簬鍒版湡鏃堕棿
t
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鐨勪緷璧栧叧绯伙紝
绉颁负鍒╃巼鐨勬湡闄愮粨鏋勩�?/p>
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涓?/p>
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飩?/p>
飥?/p>
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鍓嶆彁鏄繖涓瀬闄愬瓨鍦ㄧ殑璇濄�?/p>
浠ュ悗锛?/p>
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dt
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鍙井锛岄偅涔堝氨鏈夊彟涓�绉嶅叧浜庡埄鐜囩殑鏈潵浠峰�肩殑琛￠噺鏂规硶鍙仛杩滄湡鍒?/p>
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锛屽畠鐨勫畾涔夊涓?/p>