Summary: | 碩士 === 高雄工學院 === 管理科學系 === 85 === Bonds is one kind of important investment tools in the
capital market.According to its property ,we could divide bond
into two parts,one is generalbond, the other is contingent bond.
The valuation of bond is quite sensitiveto term structure of
interest rates. Contingent bond,however,reveals more
sensitiveness to term structure of interest rates.So,exploring
the valuationof contingent claims with bonds has always been put
much emphasis these years. First,In this article, we explore
the properties of contingent claims ofthree kinds of bonds(
saving bond,retractable & extendible bonds and callable bonds)
which have not been issued domestic, and under the situation
that interest rate obeys both autonomous stochastic process and
Ornstein-Uhlenbeckprocess,we explore the contingent claims with
bonds .All the results we got are partial differential equations
which lead to some different kinds of boundary conditions We
assume that term stucture of interest rates obeys there
conditions,up term, down term,and gibbosity.And, we use
simulation analysis and sensivityanalysis for redeemded claims.
The result we got reflect that redeemed valuation of bonds is
little unless term structure of interest rates is down term or
gibbosity .And when term structure of interest rates shift up,
valuationof redeemed claims also shift up.
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