JSW 2009 Vol.4(3): 191-198 ISSN: 1796-217X
doi: 10.4304/jsw.4.3.191-198
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) .
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) .
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, CNKI, Google Scholar, ProQuest, INSPEC(IET), ULRICH's Periodicals Directory, WorldCat, etc
E-mail: jsweditorialoffice@gmail.com
-
Mar 01, 2024 News!
Vol 19, No 1 has been published with online version [Click]
-
Jan 04, 2024 News!
JSW will adopt Article-by-Article Work Flow
-
Apr 01, 2024 News!
Vol 14, No 4- Vol 14, No 12 has been indexed by IET-(Inspec) [Click]
-
Apr 01, 2024 News!
Papers published in JSW Vol 18, No 1- Vol 18, No 6 have been indexed by DBLP [Click]
-
Nov 02, 2023 News!
Vol 18, No 4 has been published with online version [Click]