| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === The primary objectives of the analysis are to describe a feasible framework of e-Huei, build an appropriate mechanism to determine the arbitrage-free prices of Huei, and observe the fluctuation of the prices under changes in different factors.
We introduce the framework and operation of e-Huei first and then deal with the valuation. Modified Liao’s model and the Black-Derman-Toy model are applied to value Huei and generate the arbitrage-free price. Unlike previous studies, we incorporate the random process of interest rates in the Huei discount model and try to determine a fair price of a live Huei at each time. In this way, Huei evolves from a pure lending-and-borrowing tool to a security available for transaction.
Lastly, we make a comprehensive analysis on the price of Huei. We find that both Huei discounts and fair prices of Huei increase when the designated Huei capital increases; however, while Huei discounts are positively related to the length of Huei, the fair prices of Huei decrease with longer maturity. Intuitively, the fair prices move in the opposite direction from the change in the yield under parallel shifts. Besides, when a flat yield curve turns to be upward-sloping (downward-sloping), the prices decrease (increase) as the yield change becomes larger. In general, there exists negative relation between the prices and the yield volatility. Furthermore, we find that both the effective duration and effective convexity of Huei have positive relationship with the time to maturity and negative relationship with the yield. In addition, the effective duration of Huei is rather low compared with that of a typical bullet bond, implicating minor price sensitivity than bullet bonds.
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