| 提前还贷及其隐含期权的分析 |
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| 引用本文： | 刘畅,徐承龙,谢志华.提前还贷及其隐含期权的分析[J].应用数学与计算数学学报,2006,20(2):104-108. |
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| 作者姓名： | 刘畅 徐承龙 谢志华 |
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| 作者单位： | 同济大学数学系,上海,200092 |
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| 基金项目： | 国家自然科学基金;上海市教委资助项目 |
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| 摘 要： | 可提前还款的定期贷款是隐含着期权的利率衍生物，本文建立CIR利率模型下可提前还款的定期贷款的数学模型，通过离散偏微分方程，建立了模型的计算方法，讨论了随机利率对提前还贷的影响．
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| 关 键 词： | 提前还贷 随机利率 隐含期权 违约金 |
| 收稿时间： | 2005-09-08 |
| 修稿时间： | 2005年9月8日 |
The Mathematical Analysis of Giving Back Loan Forward |
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| Liu Chang,Xu Chenglong,Xie Zhihua.The Mathematical Analysis of Giving Back Loan Forward[J].Communication on Applied Mathematics and Computation,2006,20(2):104-108. |
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| Authors: | Liu Chang Xu Chenglong Xie Zhihua |
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| Abstract: | Time loan which can be prepaid is a derivative which embedded with a option. In this paper, the model of this kind of loan is established. Solve the problem by differencing the partial differential equation. The influence of stochastic interest rate to repay is discussed. |
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| Keywords: | giving back loan forward stochastic interest rate implied options default penalty |
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