Studies on pricing models of interest rate derivative products
ZHENG Xiao ying 1, CHEN Jin xian 2, YANG Yi 2 (1.Management School, Xian Jiaotong University, Xian 710049, China; 2.The School of Economics and Management, Xian University of Technology, Xian 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.