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利率市场化后利率变动更具有不确定性,本文假设利率及其变化率在一定范围内变化时,求国债价格的上下限,即研究国债价格区间波动范围问题。首先将国债价格上下限问题归结为最优控制问题,运用Bellman动态规划原理给出国债定价模型及其求解方法;然后通过最优静态对冲缩小由控制模型得到的价格区间;最后给出了模型在中国国债市场上的应用,求解并缩小国债价格区间,使与其最高和最低成交价误差较小,并进行绝对利率风险控制。
This article assumes that the interest rate and its rate of change in a certain range of changes, the upper and lower limits of the national debt price, that is, the range of fluctuations in the scope of the bond price range. Firstly, the issue of the upper and lower limits of the national debt price is reduced to the optimal control problem. The Bellman’s dynamic programming theory is used to give the pricing model of the national debt and its solution method. Then, the price range obtained from the control model is reduced by the optimal static hedging. Finally, China’s bond market application, to solve and reduce the bond price range, so that the highest and lowest transaction price error is small, and the absolute interest rate risk control.