Studies on pricing models of interest rate derivative products

ZHENG Xiao ying 1, CHEN Jin xian 2, YANG Yi 2 (1.Management School, Xian Jiaotong University, Xian 710049, China; 2.The School of Economics and Management, Xian University of Technology, Xian 710048, China)  

Analyses the limitation of Black Scholes model for the pricing of interest rate derivative products. Based upon the study of interest rate's characteristics and factors affecting interest rate, a kind of stochastic model on interest rate is presented. Using no arbitrage principle, the pricing model of bond and interest rate derivative products is derived.

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