The Studty on the Valuation of Contingent Claims on the bonds

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 b...

Full description

Bibliographic Details
Main Authors: Li, Hsien-Yi, 李顯儀
Other Authors: Tsuen-Ho Hsu
Format: Others
Language:zh-TW
Published: 1996
Online Access:http://ndltd.ncl.edu.tw/handle/96299752309361127199
Description
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.