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本文以Libor欧元一年期市场利率为研究对象,提出一般Vasicek模型及加入正态跳跃项的Vasicek模型,运用马尔科夫链蒙特卡罗方法(MCMC方法)对这两种模型进行参数估计,研究结论认为:选取合理的标的变量的模型是准确定价的主要因素;利用MCMC方法进行多次迭代,估计参数组,对比模型估计值与历史数据的差距,加入正态跳跃项的模型比未加跳跃项的模型更好,Libor市场利率的历史数据的拟合程度较高。
In this paper, the Libor EUR one-year market interest rate is taken as the research object. The general Vasicek model and the Vasicek model with normal jump terms are proposed. The parameters of these two models are estimated using the Markov chain Monte Carlo method (MCMC) The conclusion is that choosing a reasonable underlying variable model is the main factor of accurate pricing; using MCMC method to carry out multiple iterations, estimating the parameter group, comparing the difference between the model estimation value and the historical data, adding the model of the normal jumping term to the model without jumping The model of the item is better, and the historical data of the Libor market interest rate is better fitted.