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国内运用期权定价理论分析债券的定价主要集中于对可转换债券、单一零息票债券和违约风险债券的定价分析,但对于同时发行优先级债券和次级债券二者的收益率差研究较少。在国外已有的次级债券期权定价方法和结论基础上,文章具体论证出次级债券相对于无风险国债的风险溢价与发行主体资产价值之间呈非单调关系的结论,并得到次级债券与优先级债券收益率差的定价公式。
The analysis of option pricing theory in China mainly focuses on the pricing analysis of convertible bonds, single zero-coupon bonds and default risk bonds. However, the research on the yield difference of the simultaneous issuance of senior bonds and subordinated bonds less. Based on the existing foreign subordinated bond option pricing method and conclusion, the article concretely demonstrates the non-monotonic relationship between the risk premium of subordinated bonds relative to risk-free government bonds and the issuance of main asset value, and obtains the conclusion that subordinated bonds The pricing formula of the yield difference with the priority bond.