期权定价理论在债券久期上的应用

The Application of Option Pricing in Duration

根据证券组合的原理,一个有违约倾向的债券的复制组合包括一个无违约风险资产和一个看跌期权的空头.本文应用期权定价的理论和证券组合的原理,对有违约风险债券中的久期问题进行了研究,并得到了债券久期的数量化计算公式.

According to the theory of replicating portfolio, one replicating portfolio for bond prone to default contains a long position in the default-free asset plus a short position in a put position on the underlying assets. This paper applies a option pricing method and replicating portfolio theory to examine the duration of a bond. The duration of the bond is shown to be a weighted combination of the duration of the default-free bond and the put option. So a mathematic result can be arrived at by this method.