Under HJM Framework Pricing Corporate Bonds with Put Provision－Empirical Results in Taiwan Market
| Autor: | Jie-Ming Chen, 陳傑銘 |
|---|---|
| Rok vydání: | 2004 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 In order to acquire lower cost of capital, issuing corporate bonds is one of the feasible ways for many companies. To attract more investors, companies usually lock cost of capital under certain level and then issue corporate bonds with additional provisions. These provisions usually imply option value. Therefore, how we use theoretical models to evaluate these reasonable bond price is worth investigating. Model of the term structure of interest rates play an important role in the modern theory of pricing bonds and other interest-rate sensitive claims. Pricing method of these claims in the market at present time, there are two mainstreams－one is Hull-White model developed by foundation with the spot interest rate and the other is Heath-Jarrow-Morton model developed by foundation with the forward interest rate. They are both set up and developed under the structure without any arbitrage opportunity. Because the structure of HJM model in original is an non-Markov process at all, it is not efficient. This thesis used lattice approach to develop the HJM model. By using two sets of inputs, the forward interest-rate function and implied volatility specification, we can use this model to price puttable bonds. Finally, we compare the model price with actual price, that are found from 2001 to 2005, by using test approaches to measure the performance of the HJM model in pricing puttable bonds. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|