Optimal Bond Refunding: A Practical Approach
现有债券赎回研究忽略了债券收益率对短期利率变化调整不完美（即“粘性”）这一现实特征。本文模型考虑了该特征及均值回复利率，发现粘性显著影响最优赎回政策（尤其长期债券），而均值回复影响不大，为管理者提供了较完整易行的操作指南。
Although there is substantial research on optimal bond refunding, an important real‐life feature is missing from the existing literature: imperfect adjustment or ‘stickiness’ of bond yields to short term interest rate changes. Our model takes this behavior into account, and also has the ability to handle mean reverting interest rates. The results indicate that the former has a significant effect on the optimal refunding policy (especially for longer maturities), but the latter does not. By incorporating these features, our model will hopefully offer a fairly complete and easily implementable guide to managers with regard to the bond refunding decision.