美元可贖回債券之評價與分析

Evaluation and Analysis of Callable Bonds

邱荷晴(He-Ching Chiu)

指導教授 ： 鍾經樊 ； 銀慶剛

國立清華大學/理學院/統計學研究所/碩士(2021年)

摘要

本文使用利率模型定價美元可贖回債券。利用交換選擇權的隱含波動率估計Hull-White和Black-Karasinski兩種利率模型的模型參數，再根據債券合約評價美元可贖回債券。本文提出建構參數因時而變之利率模型的方法，並比較參數為常數以及參數因時而變的可贖回債券評價結果。

關鍵字

可贖回債券 ； 利率模型 ； 利率三元樹 ； 校正參數 ； 參數因時而變

並列摘要

This article implements interest rate models to evaluate callable bonds. We use market implied volatilities of swaptions to calibrate the model parameters, mean reversion, and volatility of the Hull-White model and the Black-Karasinski model, respectively, then price callable bonds according to the bond contracts. We propose a method to construct an interest rate model with time-varying parameters. Eventually, we compare the evaluation results of interest rate models with time-varying parameters and the model with constant parameters.

並列關鍵字

Callable Bond ； Hull-White Model ； Black-Karasinski Model ； Interest Rate Tree ； Parameters Calibration ； Time-varying parameters

參考文獻

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[5] Hull, J. and White, A. (2001). The general hull–white model and super calibration.FinancialAnalysts Journal, 57(6):34–43.