摘要
可赎回债券可以分解成普通债券和债券看涨期权的组合,可回售债券可以分解成普通债券和债券看跌期权的组合。本文使用BDT模型对国家开发银行自2001年以来发行的可赎回债券和可回售债券定价,结果发现可赎回债券被高估,而可回售债券被低估。
Callable bonds can be decomposed into bond and bond＇ s call option, while puttable bonds can be decomposed into bond and bond＇s put option. We use BDT model to price the callable and puttable bonds issued by China Development Bank since 2001. It is found out that callable bonds are overvalued, while puttable bonds are undervalued.
出处
《证券市场导报》
北大核心
2005年第12期64-66,共3页
Securities Market Herald
