我国可回售债券的定价——基于同期限国债收益率曲线的模拟  

The Pricing of Puttable Bonds in Chinese Bond Market——A Simulation Based on the Yield Curve of Government Bonds with the Same Term

作　　者：谢为安[1] 蔡益润[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《复旦学报（自然科学版）》2011年第1期103-108,113,共7页Journal of Fudan University：Natural Science

摘　　要：在经典的BK模型基础上,建立了适合中国市场的各种期限国债收益率模型,确立了基于同期限国债收益率曲线的我国可回售债券的定价方法,克服了构造完整收益率曲线的困难;拟定了可回售债券价格蒙特卡罗模拟的计算程序,建立了可回售债券价格的95%置信区间,计算出中国债券市场上15种可回售债券的理论价格、95%的置信区间、回售权价值及其相应的普通债券与可回售债券之间的价差;并为市场参与者提出了一些相关的建议.A rate-of-return model of government bonds with different terms that is suitable for Chinese bond market based on the classic BK model is set up.A pricing method for Chinese puttable bonds based on yield curve of government bonds with the same term is established.The problem of constructing a complete yield curve is solved by this pricing model.The prices of puttable bonds are simulated by using Monte Carlo simulation,and the 95% confidence intervals of puttable bonds prices are calculated.In the empirical part of the paper,the theoretical prices of 15 puttable bonds in Chinese bond market,their corresponding 95% confidence intervals,the values of their embedded put options,and the price spreads between the regular bonds and the puttable bonds are calculated.According to the analysis,some suggestions are offered to the bond market participators at the end.

关 键 词：可回售债券 蒙特卡罗模拟 BK模型 

分 类 号：F830.91[经济管理—金融学]