随机利率下投资项目价值研究

摘要

This paper describes the movement of interest rate in Vasicek interest rate model by the binary tree theory. And it obtains the interest rate at each node according to the characteristics of interest rate. Also it analyzes the underlying asset value of project by the binary tree theory, then establishes a pricing model of project value under the stochastic interest rate.%运用二叉树理论对服从Vasicek利率模型的利率运动过程进行了描述;根据利率的特点对各阶段各结点处的利率进行了估计,并同样运用二叉树理论对项目标的资产价值运动过程进行了分析,进而建立了随机利率下的项目价值估计模型.