| Hull-White利率模型仿真与债券估值 |
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| 引用本文：陈 勇，邓 坤.Hull-White利率模型仿真与债券估值[J].经济数学,2015,(4):12-15 |
| 摘要点击次数: 1938 |
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| 中文摘要:应用Vasicek模型和Nelson-Siegel模型估计Hull-White利率模型的参数，运用蒙特卡洛方法模拟利率路径，根据利率路径估计中国国债的价值，并进行敏感性分析.结果表明，运用蒙特卡洛方法模拟Hull-White利率模型，具有计算简单和运算速度快的特点，且债券估值的结果较为精确.该方法可广泛地应用于债券及其衍生品的定价分析. |
| 中文关键词:利率期限结构 Hull-White模型 蒙特卡洛 |
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| Simulation of Hull-White Model and Bond Pricin |
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| Abstract:This paper used the Vasicek model and the Nelson-Siegel model to estimate the parameters of Hull-White model,and simulated the Hull-White term structure model. The theoretical prices of sample bonds were priced through the Monte Carlo simulation methods. We conducted a sensitivity analysis. It is shown that simulation-based method is more precise than the three-tree one to price bonds. |
| keywords:term structure of interest rates Hull-white model Monte Carlo simulation |
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