Bond and option pricing for interest rate model with clustering effects
Bond and option pricing for interest rate model with clustering effects
复制标题
具有集群效应的利率模型的债券和期权定价
DOI：
10.1080/14697688.2017.1388534
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发表时间：
2018-06
影响因子：
1.3
通讯作者：
Yang Shen
中科院分区：
文献类型：
--
作者：
Xin Zhang;Jie Xiong;Yang Shen
This paper analyzes an interest rate model with self-exciting jumps, in which a jump in the interest rate model increases the intensity of jumps in the same model. This self-exciting property leads to clustering effects in the interest rate model. We obtain a closed-form expression for the conditional moment-generating function when the model coefficients have affine structures. Based on the Girsanov-type measure transformation for general jump-diffusion processes, we derive the evolution of the interest rate under the equivalent martingale measure and an explicit expression of the zero-coupon bond pricing formula. Furthermore, we give a pricing formula for the European call option written on zero-coupon bonds. Finally, we provide an interpretation for the clustering effects in the interest rate model within a simple framework of general equilibrium. Indeed, we construct an interest rate model, the equilibrium state of which coincides with the interest rate model with clustering effects proposed in this paper.
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影响因子：
8
作者：
C. Ahn;H. Thompson
通讯作者：
C. Ahn;H. Thompson
DOI：
10.1214/aoap/1060202833
发表时间：
2002-09
期刊：
Capital Markets: Asset Pricing & Valuation eJournal
影响因子：
--
作者：
D. Duffie;D. Duffie;D. Filipović;W. Schachermayer
通讯作者：
D. Duffie;D. Duffie;D. Filipović;W. Schachermayer
影响因子：
2.7
作者：
HAWKES, AG
通讯作者：
HAWKES, AG
影响因子：
0.6
作者：
A. Skorokhod
通讯作者：
A. Skorokhod
影响因子：
1.7
作者：
Y. Jiao;Chunhua Ma;Simone Scotti
通讯作者：
Y. Jiao;Chunhua Ma;Simone Scotti