具有提前赎回条款的离散息票债券定价模型的结构分析
Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach
摘要：
本文利用结构化方法建立了允许持有人在到期日之前的任意息票日提前赎回的离散息票债券的数学模型，并在此基础上给出了债券价格的最小-最大估计和梯度估计。利用这些估计，讨论了具有提前赎回条款的离散息票债券的违约边界的存在唯一性和设计参数之间的关系。然后在一定的假设条件下证明了提前赎回边界的存在唯一性，并利用高阶二元期权给出了债券价格的解析表达式。最后，对我国债券市场的久期和信用利差进行了分析，这两个指标在金融实践中得到了广泛应用。我们的工作为具有提前赎回条款的离散息票债券的设计提供了指导
英文摘要：
In this paper, using the structural approach is derived a mathematical model of the discrete coupon bond with the provision that allow the holder to demand early redemption at any coupon dates prior to the maturity and based on this model is provided some analysis including min-max and gradient estimates of the bond price. Using these estimates the existence and uniqueness of the default boundaries and some relationships between the design parameters of the discrete coupon bond with early redemption provision are described. Then under some assumptions the existence and uniqueness of the early redemption boundaries is proved and the analytic formula of the bond price is provided using higher binary options. Finally for our bond is provided the analysis on the duration and credit spread, which are used widely in financial reality. Our works provide a design guide of the discrete coupon bond with the early redemption provision
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