基于Vasicek模型的公司债券定价研究

摘要

In this paper, we study the corporate bonds from the perspective of the term structure of interest rate, and apply the Vasicek model to the estimation of corporate bonds pricing. By selecting two corporate bonds, which have different remaining term, to carry out an empirical test of the theory. In corporate bonds pricing and future yield rate estimation. The test results show that Vasicek model has certain reference value. For the corporate bond which has one-year remaining maturity, there are higher fitting about theory price and market price.%文章从利率期限结构的角度对公司债券进行研究，并将Vasicek模型应用于公司债券价格估计与未来收益率估计上。通过选取两只剩余期限不同的公司债券对理论进行实证检验，检验结果表明， Vasicek模型对于公司债券定价与确定未来收益率上具有一定参考价值。对剩余期限在一年左右的公司债券，文章的理论价格与市场价格拟合较高。