By introducing the transition probability parameter, we show that the general dynamic equation for which short interest rate satisfies and set up the discrete term structure model, which extends BDT model.

• 本文通过引入转移概率参数,证明了短期利率满足的一般动态变化方程,建立了离散形式的利率期限结构模型,讨论求解方法,从而拓展了BDT模型。