Pricing And Calculation Of Bonds With Markov Switching

In recent years,China's bond market is developing rapidly,and all sectors of the community choose the way of debt financing for external financing.The steady and healthy development of the bond market has been paid more and more attention by the country,and the reasonable pricing of the bond has naturally become an urgent problem to be solved in the healthy development of the bond market.Under this background,this paper first describes the research status of bond pricing at home and abroad,and then summarizes the basic theory of bond pricing.Then this paper combines Vasicek and CIR interest rate models which are the best fit for China's bond market in short-term interest rate models,bond pricing in the binomial tree method,backward method and the Markov switching which is a good simulation of random processes in real life to established the bond pricing model based on Vasicek interest rate model,the bond pricing model based on CIR interest rate model,the bond pricing model based on Vasicek and CIR interest rate model with Markov Switching.Finally,this paper uses the above three bond pricing models in Shanghai stock exchange discount bonds to make the empirical analysis.The results show that the bond pricing model based on Vasicek and CIR interest rate model with Markov switching is the most robust.