美元零息可贖回債券在Hull-White Model下之評價模型

Abstract

研究評價可贖回債券中的零息可贖回債券，利用Swaption隱含波動度為校正工具逼近市場價格與Hull-White Model利率模型的價格，矯正出符合市場的Hull-White Model的兩個參數均數回歸率以及利率波動度，以此二參數配合債券合約與評價時間建立出Hull-White利率樹，在此利率模型之下評價可贖回債券，並變動可能影響價格的因子理性分析評價結果之合理性。

To price the zero callable bond under Hull-White Model, We calibrate two parameters, mean reverting rate and volatility, for the Hull-White Model by approaching the market data to the model data, then we construct the model to cooperate with the callable bonds to be priced. We also make some sensitivity analysis to reasonably explain the price of the zero callable bond we compute.