论文标题
使用Malliavin Colculus定价扩展的Cox-Ingersoll-Ross模型的零息键
Pricing the zero-coupon bond of the extended Cox-Ingersoll-Ross model using Malliavin calculus
论文作者
论文摘要
在本文中，我们使用Malliavin Colculus在作者的论文Jin，Peng和Schelllhorn（2016）中建立的Dyson Type公式将扩展的Cox-Ingersoll-Ross模型的零企业键使用。该公式提供了一个快速收敛的系列来表示债券价格，这取决于利率过程的给定漂移和波动性，而不是Maghsoodi（1996）中使用的瞬时远期利率。该表达式也可以被视为具有时间依赖系数的一类Reccati方程的新解决方案。
In this paper, we price the zero-coupon bond of the extended Cox-Ingersoll-Ross model by a Dyson type formula established in one of the authors' paper Jin, Peng and Schelllhorn (2016) using Malliavin calculus. This formula provides a fast convergent series to represent the bond price, and it depends on the given drift and volatility of the interest rate process but not the instantaneous forward rate used in Maghsoodi (1996). This expression can be also regarded as a new solution to a class of Reccati equations with time-dependent coefficients.
