假定利率服从CIR过程, 利用傅里叶变换方法对含有障碍期权的触发性利率理财产品进行定价.将触发性产品分解成零息债券和障碍期权两部分, 利用 折现的方法为零息债进行定价, 利用傅里叶变换对障碍期权部分进行定价.实证部分利用一款挂钩3个月期的Shibor 利率的理财产品进行检验, 得到该触发性利率理财产 品的理论价格, 结果发现, 该产品理论价格低于实际销售价格, 造成这种价格偏差的原因可能是银行的利润以及定价模型和方法的选择.

Assuming that the interest rate followed the CIR process, we used the Fourier transform method to price the triggered interest rate financial products with barrier options. The trigger product could be divided into two parts: Zero coupon bonds and barrier options. The price of zero coupon bonds was calculated by the discount method, and the barrier options was priced by the Fourier transform method. A financial product linked to the 3-month Shibor interest was used to do the empirical test. We used the Fourier transform method to get the theoretical price. The results showed that the theoretical price was lower than the actual sales price. The reasons for the price deviation may be the bank profits and model selection.