论文标题
通过结构方法提早赎回规定的离散优惠券债券的定价模型分析
Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach
论文作者
论文摘要
在本文中，使用结构方法得出了离散优惠券债券的数学模型，该规定允许持有人在成熟之前的任何优惠券日期要求早期赎回，并基于此模型提供了一些分析，包括债券价格的最小值和梯度估计。使用这些估计，描述了默认边界的存在和唯一性以及与早期赎回条款的离散优惠券债券的设计参数之间的某些关系。然后在某些假设下，证明了早期赎回边界的存在和独特性，并使用较高的二元期权提供了债券价格的分析公式。最后，为我们的债券提供了对持续时间和信贷差异的分析，这些分析在财务现实中广泛使用。我们的作品提供了离散优惠券债券的设计指南，并提供了早期赎回条款
In this paper, using the structural approach is derived a mathematical model of the discrete coupon bond with the provision that allow the holder to demand early redemption at any coupon dates prior to the maturity and based on this model is provided some analysis including min-max and gradient estimates of the bond price. Using these estimates the existence and uniqueness of the default boundaries and some relationships between the design parameters of the discrete coupon bond with early redemption provision are described. Then under some assumptions the existence and uniqueness of the early redemption boundaries is proved and the analytic formula of the bond price is provided using higher binary options. Finally for our bond is provided the analysis on the duration and credit spread, which are used widely in financial reality. Our works provide a design guide of the discrete coupon bond with the early redemption provision
