CONVERGENCE MODEL OF INTEREST RATES OF CKLS TYPE

被引：0

作者：

Zikova, Zuzana ^{[1
]}

Stehlikova, Beata ^{[1
]}

机构：

[1] Comenius Univ, Fac Math Phys & Informat, Dept Appl Math & Stat, Bratislava 84248, Slovakia

来源：

KYBERNETIKA | 2012年 / 48卷 / 03期

关键词：

convergence model of interest rate; approximate analytic solution; order of accuracy;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we obtain an approximation of the solution for a more general model. We compute the order of accuracy for this approximation, propose an algorithm for calibration of the model and we test it on the simulated and real market data.

引用

页码：567 / 586

页数：20

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