Coupon Bond Option Pricing on the Basis of Multiple Factors Affine Term Structure Model of Interest Rates
In this paper, a three-factor affine term structure model which has the square-root diffuse properties is adopted. By using the Kalman filter method, the parameters of the model are estimated, then the prices of coupon bond options are analyzed by Monte Carlo stimulation and the elements which affect the option pricing are also discussed in this paper. The results show that the price of bond option has a positive correlation with the maturity of the option and the price of bond, it has a negative correlation with the strike price of option. The results also show that value-added option price of the adjacent maturity of the option is a constant approximately and it has a negative correlation with the maturity of the bond.
Affine term structure models Kalman filter Monte Carlo simulation Coupon option pricing
Liu Wenyu Xiong Minghuan Wang Xiaoguang Zhou Rongxi
School of Economics and Management, Beijing University of Chemical Technology, Beijing, China
国际会议
武汉
英文
414-417
2011-10-17（万方平台首次上网日期，不代表论文的发表时间）