【作者】 沈传河；

【导师】 王向荣；

【作者基本信息】 山东科技大学 ， 运筹学与控制论， 2003， 硕士

【摘要】 嵌入期权作为镶嵌在债券结构中允许发行者或投资者改变债券未来现金流特征的条款，它是具备价值的，并构成债券价值的一部分。本文分别以可转换期权和可提前赎回期权为例，分析了由于股票价格及利率变化所带来的嵌入期权的变化对公司债券价值造成的影响，即公司债券价值的敏感性，提出了大致估价这种影响的方法。针对嵌入期权的影响，探讨了随机免疫方法和基于套期保值策略的金融工程手段这两种公司债券利率风险管理策略。在此基础上，分析了目前我国含嵌入期权公司债券的发展现状，并提出了相应的政策性建议。更多还原

【Abstract】 As provisions which are embedded in corporate bonds and allow issuers or investors to change their future cash flow, the embedded options are valuable and become a part of corporate bond’s value. Taking convertible options and callable options as examples respectively, the paper analyses the influence of embedded options, caused by the change in stock price and interest rate, on corporate bond’s value. Then, proposes methods of valuating approximately the influence. Accounting for the influence, explores a stochastic immunization method and financial engineering approaches based on hedging, which are two kinds of interest rate risk management strategies. On the basis of above discussion, analyses development situation of corporate bonds with embedded options at present in our country, and then introduces corresponding political suggestions.更多还原