Adjusting Binomial Model-High Risk Bond of Taiwan Market

• Main Authors: Steven Huang, 黃家慶
• Other Authors: Yijenem Wu
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/01603569808308547768

碩士 === 銘傳大學 === 金融研究所 === 88 === The return of invest bond is uncertainty. Not only the volatility of the interest rate but also the default risk of the bond. These factors also let the pricing of the bond become difficult. This study uses the adjusting binomial model to price the high risk bond of Taiwan. I hope the result of the study can help the investors of bond in Taiwan. There are 34 sheets of high risk sample bond in this study. I compare the bond prices with the adjusting binomial model、 Vasicek model and CIR model. Giving the parameters, we found not only the absolute pricing errors but also the relative pricing errors, the adjusting binomial model is better than the Vasicek model and CIR model. In my conclusion, I think it is suitable to use the adjusting binomial model to price the high risk bond of Taiwan