This thesis analyzes the pricing of Callable Range Daily Accrual Notes using Black-Derman-Toy model. The results show that theoretical prices are approximately 0.9~4.67% lower compare to the issuing prices of the notes. After taking the structuring costs of the issuers and swap banks into consideration, the price differences are not significant. Consequently, we find that BDT model is powerful and convenient to price callable range notes which may be decomposed into a fixed coupon bond and digital options and Bermudan call options. In case study, we focuse on the factors which drive the range notes attractive to the issuers and investors in the recent Korean market. By analyzing each side’s goals and risks, we find that Callable Range Daily Note is a good instrument to both the issuers and investors.
본 연구는 Callable Range Daily Accrual Note에 대한 거래사례를 고찰하고 2004년중에 발행된 이들 채권에대하여 BDT 모형을 이용하여 평가하여 발행가격과 이론가격의 차이점을 분석하였다. 이항 Tree의 전개는 Jamshidian(1991)이 제시한 forward induction 기법을 적용하였다. Range 이탈여부에 따라 Daily accrual base로 금리를 결정하는 부분은 BDT 모형에 의한 CD 이자율 수형도를 digital process로 변형하고 이항트리를 이용한 Asian option 평가 방식처럼 매 시점별 거쳐온 경로의 range 이탈일수를 기억시키는 방법을 이용하였다.
