Volume 4 Number 3 (May. 2009)
Home > Archive > 2009 > Volume 4 Number 3 (May. 2009) >
JSW 2009 Vol.4(3): 191-198 ISSN: 1796-217X
doi: 10.4304/jsw.4.3.191-198

Decision-making for Investment Based On Option and Term Structure

Qizhi HE
College of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, china

Abstract—Static and dynamic term structure model of interest rates are studied according to the need for using. As for the static model, exponential splines model is studied and every cash flow of the project is discounted relatively accurately by getting the model of discount rate. As for the dynamic model, a basic model is studied, and the option pricing formula under changing risk-free rate is gotten by bringing it into the option pricing formula. And then a complex model which is more approaching the fact is used to describe the moving pattern of risk-free interest rates and the former formula that have been educed is modified. Finally, Empirical research is carried on based on the data of Chinese financial market.

Index Terms—real option, exponential splines, simulation, GMM(Generalized Method of Moments) .

[PDF]

Cite: Qizhi HE, "Decision-making for Investment Based On Option and Term Structure," Journal of Software vol. 4, no. 3, pp. 191-198, 2009.

General Information

ISSN: 1796-217X (Online)
Frequency:  Quarterly
Editor-in-Chief: Prof. Antanas Verikas
Executive Editor: Ms. Yoyo Y. Zhou
Abstracting/ Indexing: DBLP, EBSCO, CNKIGoogle Scholar, ProQuest, INSPEC(IET), ULRICH's Periodicals Directory, WorldCat, etc
E-mail: jsw@iap.org
  • Apr 26, 2021 News!

    Vol 14, No 4- Vol 14, No 12 has been indexed by IET-(Inspec)     [Click]

  • Nov 18, 2021 News!

    Papers published in JSW Vol 16, No 1- Vol 16, No 6 have been indexed by DBLP   [Click]

  • Dec 24, 2021 News!

     Vol 15, No 1- Vol 15, No 6 has been indexed by IET-(Inspec)   [Click]

  • Nov 18, 2021 News!

    [CFP] 2022 the annual meeting of JSW Editorial Board, ICCSM 2022, will be held in Rome, Italy, July 21-23, 2022   [Click]

  • Nov 25, 2022 News!

    Vol 17, No 6 has been published with online version     [Click]