c**********e
发帖数: 2007 | 1 The interest rate satisfy Heston process, what is the PDE for a bond price?
Urgent help please! |
d*j
发帖数: 13780 | 2 。。。。。。。。。。。。
【在 c**********e 的大作中提到】
: The interest rate satisfy Heston process, what is the PDE for a bond price?
: Urgent help please!
|
x********o
发帖数: 519 | 3 search Heston's original paper
【在 c**********e 的大作中提到】
: The interest rate satisfy Heston process, what is the PDE for a bond price?
: Urgent help please!
|
w********r
发帖数: 290 | 4 I thought Heston model is used for modeling stock price, but not interest
rate. |
x********o
发帖数: 519 | 5 read Heston's original paper and you will find out.
or the more general affine models by Dai and Singleton.
【在 w********r 的大作中提到】
: I thought Heston model is used for modeling stock price, but not interest
: rate.
|
w********r
发帖数: 290 | 6 Yes, I've read the original paper. In the application part of the paper, the
so called "Heston process" is used to model zero coupon bond price dynamic
in stead of short rate.
【在 x********o 的大作中提到】
: read Heston's original paper and you will find out.
: or the more general affine models by Dai and Singleton.
|
