Pricing Interest-Rate-Derivative Securities
扩展了Vasicek和Cox-Ingersoll-Ross单因子利率模型，使其与当前利率期限结构和即期或远期利率波动率一致，并比较了扩展Vasicek模型与其他模型的期权定价结果。
This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current term structure of interest rates and either the current volatilities of all spot interest rates or the current volatilities of all forward interest rates. The extended Vasicek model is shown to be very tractable analytically. The article compares option prices obtained using the extended Vasicek model with those obtained using a number of other models.