merton利率模型中为什么利率为负的概率大于零

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

• merton利率模型为什么利率为负的概率大于零，感谢！
• CIR利率模型中利率的期望和方差怎么求
  

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Merton 利率模型 ert RTO CIR 利率 模型

1. In merton's model, the interest rate just follows a brownian motion with drift. So it is normally distributed. We know that normal distribution can take the value from negative to positive infinity.

2. The mean and variance of CIR model is just the standard way to solve this kind of SDE. You first applying Ito lemma to the 'discounted process'. Say CIR model is like this: dr=a(b-r)dt+c sqrt(r)dz. calculate d(exp(at)r)first. This will kill the r in the drift term. So you integrate the equation and take expectation and z term will disappear, so that you get the mean. For variance, it is basically the same thing.  What I recommend is you calculate E(r^2), and use E(r^2)-E(r)^2 to get the variance.

If you have any further questions, please let me know.

best

Chemist_MZ 发表于 2013-3-25 20:20
1. In merton's model, the interest rate just follows a brownian motion with drift. So it is normally ...

Thanks to your help , I get it ! I do thank you very much ! Best wishes to you!