The Valuation and Risk Analysis of Zero Coupon Callable Bond
| Autor: | Chen Wen Chi, 陳文琦 |
|---|---|
| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 Recently, the global interest rates continuing to drop, earnings of financial products have declined. Callable bonds usually offer higher yield; thus they attract the attention of investors and make the joint issuance of callable bond increase rapidly. The long term callable zero coupon bonds has always been an important investment target of financial institutions, which affect the level and risk of appearance. In this thesis, we quote the Cox, Ingersoll, Ross (CIR) model by to catch stochastic interest rate behavior and movements. Moreover, we also adopt Longstaff and Schwartz’s Least-Square Monte Carlo method to accurately estimate optimal early exercise time of each simulation path and solves the problem of path-dependent. Finally, we use sensitivity analysis to quantify the risk assessment. Hopefully, this thesis can provide sufficient references for investors to further realize the design focus and risks, when pursuing the high-yield rate. Keywords: Zero Callable Bond, Least-Square Monte Carlo, American Option, Interest Rate Risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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