银行间债券市场含权债估值问题研究

文章分析了银行间市场含权债实际成交价格的变动规律，介绍了市场实践中常用的定价方法，并对以理论模型为基础的一般估值方法进行了研究。结果发现，虽然目前市场上含权债的交易价格基本合理，但估值实践中较少利用理论模型，一般参考市价简单处理。含权债定价可以从建立二项式模型开始，逐步改变目前市场定价随意、缺少理论支撑的现状。

A study on valuing option-embedded bonds in interbank bond market

This paper analyzes the market price moves of option-embedded bonds in the interbank market, and introduces the frequently used pricing methods in market practice. It then studies the valuation of option-embedded bonds based on theoretical models. According to the study, the trading prices of option-embedded bonds are basically reasonable. However, their valuation normally uses market prices as a reference, rather than theoretical models. The pricing of option-embedded bonds can be improved by using binomial models, while the situation that causes lack of accuracy and academic support in pricing should be gradually changed.