A BSDE approach for bond pricing under interest rate models with self-exciting jumps
A BSDE approach for bond pricing under interest rate models with self-exciting jumps
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DOI：
10.1080/03610926.2019.1691234
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发表时间：
2019-11
期刊：
影响因子：
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通讯作者：
Zhongyang Sun;Xin Zhang;Ya-nan Li
中科院分区：
文献类型：
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作者：
Zhongyang Sun;Xin Zhang;Ya-nan Li
摘要本文研究了具有自激跳跃聚集效应的随机利率模型的零息票债券定价问题。我们首先研究了等价鞅测度下利率模型的演化。然后，我们描述的债券价格的倒向随机微分方程（Besides）。当利率模型的系数具有仿射结构时，该模型的封闭解表示为利率和跳跃强度的指数仿射函数。
Abstract In this article, we consider zero-coupon bond pricing problems for the stochastic interest rate model with clustering effects of self-exciting jumps. We first develop the evolution of the interest rate model under the equivalent martingale measure. Then we characterize the bond price in terms of a backward stochastic differential equation (BSDE). Closed-form solution of the BSDE is expressed as an exponential affine function of the interest rate and the intensity of jumps when the coefficients of interest rate model have affine structures.