不管什么过程，你知道找到了underlying的distribution就可以。你可以查bond option pricing under short rate model 之类的文章。CIR的distribution是non-central chi squared 所以最后退出来的option price不是N() 是chi()。你如果想对利率期权有个feeling可以先用vasicek model做例子，Vasicek下的rates distribution是normal的所以相对比较容易。
Chemist_MZ 发表于 2015-10-24 09:53
Short rate model is not popular in the industry and CIR can not handle negative rates. But it is n ...
Short rate models are actually QUITE popular in the industry because of their analytical tractability. This makes the calibration, pricing and greeks calculation very efficient and stable!
最复杂的模型不一定是最合适的模型，关键看模型本身是不是能capture最主要的risk，然后是不是computationally cheap and stable。
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