【作者】 曾子岚；

【导师】 叶永刚；

【作者基本信息】 武汉大学 ， 金融学， 2003， 硕士

【摘要】 针对去年以来我国可转债市场迅猛发展的现状，对这种在认识上仍存在偏差，在定价上还存在问题的金融工具进行研究具有理论和现实意义。本论文试图结合专业的理论知识，对可转换债券的本质进行深入研究，从金融工程和融资理论等角度入手，提出了自己的一些看法，试图澄清一直以来对可转换债券认识上的一些误区。然后参阅大量国外文献，对可转换债券定价理论进行了系统的梳理，并对混合债券分解定价及Black-Scholes期权定价模型进行了介绍。最后，通过实证分析探讨了中国可转换债券定价模型的设计。 本论文共分四大部分进行论述： 1、第一章：可转换公司债券概述。本章就可转换公司债券的概念、特性、优缺点和中外可转换债券市场的发展等进行介绍和探讨。并比较了可转换公司债券与几种相似融资方式的区别。 2、第二章：可转换债券的基本理论分析。本章从可转换债券的目的和本质两个角度入手，运用所学的金融工程和公司金融理论，分析了可转换债券的融资理论，可转换债券的期权性本质，并从资产投资组合理论角度分析了当前出现的可转换债券基金。 3、第三章：可转换债券定价理论述评。本章首先分析了可转换债券定价的理论基础，然后参阅了大量国外文献，按可转换债券由单因素到多因素，由公司价值到股票价值为基础的发展脉络系统分析了可转换债券的定价理论发展。最后，对中国可转债理论研究也进行了总结。 4、第四章：可转换债券的定价模型及中国定价模型的实证分析。本章首先依据第二章的理论分析，从混合证券性质出发，对可转换债券进行了分解定价。然后介绍了可转换债券期权定价的经典模型——B-S模型。最后，以民生转债为例对我国可转换债券的定价进行了实证分析，并提出了修正思路。更多还原

【Abstract】 It’s of great importance both in theory and practice to study on convertible bond, which developed very rapid since last year in China and still aroused misunderstanding and problems in pricing. In this paper, in-depth research is devoted on the essence of convertible bonds based on the academic knowledge learned in graduate years. Some points of view are delivered from such aspects as financial engineering and tfinancing theory. And efforts are made to clarify some misunderstandings. Then, a systematic research is made on the development of pricing theory of convertible bonds. An introduction is made on the separation pricing method of hybrid bonds and Black-Scholes option pricing model. Finally, the empirical analysis of convertible bonds invested in Chinese Security Market is made to reveal the reasonable design of pricing model of convertible bonds.The paper is divided into four parts:1. Part 1: The general introduction of convertible bonds. The definition, features, merits and flaws of convertible bonds are expounded. The development of convertible bonds market both at home and abroad are introduced.2. Part 2: the basic theoretical analysis of convertible bonds. Taking financial engineering theory and corporate finance theory into practice, the aim of convertible bonds in financing and its essence as options are analyzed. Also, portfolio theory is applied to analyses the convertible bonds fund.3. Part 3: review of convertible bonds pricing theories. Firstly, the theoretical basis of convertible bonds pricing is analyzed. Then, the development of convertible bonds pricing theories is expatiated from one-aspect to multi-aspect, from corporate value to stock value. Finally, the development of convertible bonds theory in China is also summarized.4. Part 4: the convertible bonds pricing model and the empirical analysis of convertible bonds invested in Chinese security market. Based on the conclusion in part 2, the separation pricing method of hybrid bonds and Black-Scholes option pricing model is introduced to convertible bonds pricing. Finally, the empirical analysis of convertible bonds invested in Chinese security market is made with an example and the potential modification is delivered.更多还原