About: Rendleman–Bartter model

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The Rendleman–Bartter model (Richard J. Rendleman, Jr. and Brit J. Bartter) in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a stochastic asset model. The model specifies that the instantaneous interest rate follows a geometric Brownian motion:

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rdfs:label	Rendleman–Bartter model (en) 伦德尔曼-巴特模型 (zh)
rdfs:comment	伦德尔曼-巴特模型（Rendleman–Bartter model），得名于Richard J. Rendleman, Jr. 和 Brit J. Bartter，是一个关于短期利率的金融模型。它是一个单一因子的均衡模型，在这个模型的假设下，利率仅仅随着市场风险的变化而变化。这个模型可以被用于关于利率衍生品的估值中。它是一个随机资产模型。该模型假设即期利率服从几何布朗运动：其中Wt是一个基于随机市场风险因子的维纳过程。模型的飘移项是代表期望即期利率变化率的一个常量 , 同时标准差因数表示利率的波动性。这是早期的关于短期利率模型的假设之一，使用了与之前描述股票期权关于其标的股票的动态运动所相同的随机过程。其最主要的模型缺陷就是它不能够描述关于市场利率的均值回归现象。在1979年这个模型也提出了其在二项式期权定价模型的应用。（"Two-State Option Pricing". Journal of Finance 24: 1093-1110 （页面存档备份，存于互联网档案馆）.） (zh) The Rendleman–Bartter model (Richard J. Rendleman, Jr. and Brit J. Bartter) in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a stochastic asset model. The model specifies that the instantaneous interest rate follows a geometric Brownian motion: (en)
dcterms:subject	Interest rates Financial models Short-rate models
Wikipage page ID	7757177 (xsd:integer)
Wikipage revision ID	1016026574 (xsd:integer)
Link from a Wikipage to another Wikipage	Prentice Hall Binomial options pricing model Underlying Interest rate derivative Standard deviation Interest rates Mathematical finance Geometric Brownian motion Market risk Financial models Short-rate models Wiener process Mean reversion (finance) Volatility (finance) Stochastic process Interest rates Short-rate model Stochastic asset model Stock options
Link from a Wikipage to an external page	https://archive.org/details/optionsfuturesot00hull_1 https://www.jstor.org/stable/2327237
sameAs	Rendleman–Bartter model Rendleman–Bartter model Rendleman–Bartter model Rendleman–Bartter model
dbp:wikiPageUsesTemplate	dbt:Cite_book dbt:Cite_journal dbt:Short_description
has abstract	The Rendleman–Bartter model (Richard J. Rendleman, Jr. and Brit J. Bartter) in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a stochastic asset model. The model specifies that the instantaneous interest rate follows a geometric Brownian motion: where Wt is a Wiener process modelling the random market risk factor. The drift parameter, , represents a constant expected instantaneous rate of change in the interest rate, while the standard deviation parameter, , determines the volatility of the interest rate. This is one of the early models of the short-term interest rates, using the same stochastic process as the one already used to describe the dynamics of the underlying price in stock options. Its main disadvantage is that it does not capture the mean reversion of interest rates (their tendency to revert toward some value or range of values rather than wander without bounds in either direction). Note that in 1979 Rendleman-Bartter also published a version of the Binomial options pricing model for equity underlyings. ("Two-State Option Pricing". Journal of Finance 24: 1093-1110.) (en) 伦德尔曼-巴特模型（Rendleman–Bartter model），得名于Richard J. Rendleman, Jr. 和 Brit J. Bartter，是一个关于短期利率的金融模型。它是一个单一因子的均衡模型，在这个模型的假设下，利率仅仅随着市场风险的变化而变化。这个模型可以被用于关于利率衍生品的估值中。它是一个随机资产模型。该模型假设即期利率服从几何布朗运动：其中Wt是一个基于随机市场风险因子的维纳过程。模型的飘移项是代表期望即期利率变化率的一个常量 , 同时标准差因数表示利率的波动性。这是早期的关于短期利率模型的假设之一，使用了与之前描述股票期权关于其标的股票的动态运动所相同的随机过程。其最主要的模型缺陷就是它不能够描述关于市场利率的均值回归现象。在1979年这个模型也提出了其在二项式期权定价模型的应用。（"Two-State Option Pricing". Journal of Finance 24: 1093-1110 （页面存档备份，存于互联网档案馆）.） (zh)
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is Link from a Wikipage to another Wikipage of	Mathematical finance Stochastic investment model Outline of finance Asset pricing Short-rate model Rendleman-Bartter model Rendleman-Bartter Rendleman Bartter Rendleman and Bartter
is Wikipage redirect of	Rendleman-Bartter model Rendleman-Bartter Rendleman Bartter Rendleman and Bartter
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