国开行可赎回债券和可回售债券的定价探讨  

On Pricing of Callable Bonds and Puttable Bonds Issued by China Development Bank

作　　者：郑振龙[1] 康朝锋 

机构地区：[1]厦门大学经济学院,福建厦门361005 [2]富国基金管理公司,上海200001

出　　处：《证券市场导报》2005年第12期64-66,共3页Securities Market Herald

摘　　要：可赎回债券可以分解成普通债券和债券看涨期权的组合,可回售债券可以分解成普通债券和债券看跌期权的组合。本文使用BDT模型对国家开发银行自2001年以来发行的可赎回债券和可回售债券定价,结果发现可赎回债券被高估,而可回售债券被低估。Callable bonds can be decomposed into bond and bond＇ s call option, while puttable bonds can be decomposed into bond and bond＇s put option. We use BDT model to price the callable and puttable bonds issued by China Development Bank since 2001. It is found out that callable bonds are overvalued, while puttable bonds are undervalued.

关 键 词：可赎回债券 可回售债券 BDT模型 债券定价 

分 类 号：F830.9[经济管理—金融学]