STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
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DOI：
10.1111/j.0960-1627.2005.00209.x
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发表时间：
2003-03
影响因子：
1.6
通讯作者：
S. Aihara;A. Bagchi
中科院分区：
文献类型：
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作者：
S. Aihara;A. Bagchi
我们通过将远期利率视为随机双曲型偏微分方程的解来建立利率期限结构模型。首先，我们研究了利率期限结构的无套利模型，并探讨了市场的完备性。然后，我们得到一般未定权益的定价结果。最后，我们得到了一个明确的公式在高斯框架下的远期利率上限的一般结果。
We model the term‐structure modeling of interest rates by considering the forward rate as the solution of a stochastic hyperbolic partial differential equation. First, we study the arbitrage‐free model of the term structure and explore the completeness of the market. We then derive results for the pricing of general contingent claims. Finally we obtain an explicit formula for a forward rate cap in the Gaussian framework from the general results.