An Empirical Analysis Of High-tech Corporate Bond Pricing Based On The Simplification Model

The number of bond institutions is far greater than the number of corporate bond institutions,and the pricing of corporate bonds has been a difficult problem.And high-tech companies often refer to companies that have the potential to value scientific research,and the bond pricing of these high-tech companies is different than that of ordinary corporate bonds.The purpose of this paper is to empirical analysis of high-tech corporate bond pricing through Jan Yuehua model,summarize some characteristics of high-tech corporate bond pricing,and draw the regular conclusion.We know that corporate bond pricing is the core issue in finance,use 30 days China interbank interest rates to calculate corporate bond price theory by scholars simplified model of China(chibor)as a risk free short-term interest rate data,in order to obtain the theoretical price of risk-free bonds.Although shibor has been generated,the Shanghai interbank offered rate(shibor)in dealing with this problem that few scholars have used Shibor for bond pricing,so this paper first verifies the different interest rate term chibor and Shibor as the application data of short-term interest rates in the corporate bond pricing in the process of desirability.The purpose of this paper is to find out the short-term interest rate data which can be used to calculate the bond price.Then use the selected chibor and Shibor to do CIR model parameter estimation,the parameter results into the simple model of theoretical formula,simultaneous substitution can calculate the interest risk,high-tech corporate bonds the theoretical price of two selected short-term interest rates made,some features were compared with the actual price you can draw high-tech corporate bonds pricing,and put forward some suggestions on the development of the bond market.The results show that the mean reversion are all term chibor and shibor(overnight,1-week,2-week,1-month).there is a mean reversion phenomenon found in the interbank interest rates can be used in the corporate bond pricing model through simple process in.The result of the simplified model shows that there is a certain linkage between the actual price and theoretical price,and the trend is directional.Some time periods are very different.Especially when the expiration date is relatively close,both tend to be obvious,and the theoretical price and actual price decrease during that time interval.