本文研究了由文[4]( KENNEDY D P.The term structure of interest rates as a Gaussian randomfield[J] .Mathematical Finance ,1994 ,4(3) :247-258 .)提出的利率期限结构模型下的债券价格过程,并获得了债券价格曲线是一条Hausdorff...本文研究了由文[4]( KENNEDY D P.The term structure of interest rates as a Gaussian randomfield[J] .Mathematical Finance ,1994 ,4(3) :247-258 .)提出的利率期限结构模型下的债券价格过程,并获得了债券价格曲线是一条Hausdorff维数为3/2的分形曲线.展开更多
基金Supported by the Office of Hubei Province Key Laboratory of Systems Science in Metal-lurgical Process (C201008)
文摘本文研究了由文[4]( KENNEDY D P.The term structure of interest rates as a Gaussian randomfield[J] .Mathematical Finance ,1994 ,4(3) :247-258 .)提出的利率期限结构模型下的债券价格过程,并获得了债券价格曲线是一条Hausdorff维数为3/2的分形曲线.
