區間型債券之評價與提前買回機率分析

Pricing of Range Notes and Analysis of Early Redemption Probability

10.30087/APEMR.200703.0004

何怡滿；許溪南；陳耿忠

區間型債券 ； 提前買回機率 ； 蒙地卡羅模擬法 ； Range Notes ； Early Redemption Probability ； Monte Carlo Simulation

亞太經濟管理評論

10卷2期（2007 / 03 / 01）

79 - 100

繁體中文

本文使用蒙地卡羅模擬法來評價區間型債券，並分析發行機構提前買回債券的機率。此外，進行敏感度分析，以瞭解利率模型參數變動對於區間型債券的價格及提前買回機率之影響。研究結果發現：(1)區間型債券的理論外幣價格稍高於發行價格，但其理論台幣價格卻低於發行價格。(2)此商品在到期日之前會被發行機構提前買回，且提前買回的機率在發行機構可開始提前買回的第一期為最高。(3)敏感度分析結果顯示，利率回歸速度與利率年波動率對此商品的價格影響程度不大，只有長期平均利率水準處於高檔時對商品價格的影響程度較大；而三個利率模型參數對發行機構提前買回機率的影響皆不大。

This paper investigates the pricing and the early redemption probability of range notes by using the Monte Carlo simulation method. Furthermore, sensitivity analysis is used to examine the effects of parameters in the interest rate model on the pricing and the early redemption probability of range notes. Our findings indicate that: (1) The foreign currency price of the range note is higher than its issuing price but the price in terms of NT dollars for this product is lower than its issuing price. (2) This product will almost surely be recalled by its issuing institution before maturity, and the first period that the bond can be recalled has the highest redemption probability. (3) The sensibility analysis reveals that both the mean-reverting speed and the fluctuating percentage of the interest rate have no significant influences on the price of range note, only the higher level of average rate in the long term has significant effect on its pricing. However, these three parameters do not have influence on the early redemption probability.

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