期权理论在处置我国不良资产问题中的应用与研究

【作者】 王乐毅；

【导师】 张鸿雁；

【作者基本信息】 中南大学 ， 应用数学， 2006， 硕士

【摘要】 本文运用期权分析的方法，结合Black-Scholes模型和二叉树模型对不良资产的处置问题进行了研究。主要工作包括：(1)期权定价理论和不良资产处置理论的研究分析；(2)不良资产股权化问题的研究分析；(3)不良资产债券化问题的研究分析。对于期权定价理论和不良资产处置理论，我们研究了Black-Scholes模型及其推广、二叉树模型以及二者的比较，得出两者实质是一致的；我们研究了不良资产的成因、现状和当前的处置方法，发现股权化和债券化是一种趋势。对于不良资产股权化，分别用Black-Scholes模型和二叉树模型研究了债权转换股权的比例测算，得出转换比例公式，并通过修正，得出非上市公司和含股权回购合约的理性定价比例；研究了债权转换股权企业的风险度量，给出了单一公司和多个公司的风险度量公式；研究了债权转换股权企业的风险控制，给出了亏损概率公式；研究了债权转换股权企业的效果分析，给出了一个评估效果分析标准。对于不良资产债券化，我们研究了公司股票的估价和公司债券的估价，并对可转换债券进行期权分析，得出了可转换债券的定价公式。更多还原

【Abstract】 In this thesis, the method of the option analyse was adopted to studythe problem of bad assets by Black-Scholes model and Binomial model.The main work including:(a) the study and analyse of the option pricing theory and thedisposition theory of bad assets;(b) the study and analyse of stocklization;(c) the study and analyse of bondlization.For the option pricing theory and the disposition theory of bad assets,Black-Scholes model and its extend, Binomial model and thecomparation of them were studied, and the conclusion that they werevirtually consistent was got; We studied the cause of formation, theactuality and current disposition method of bad assets, and find it was atrend to deal with bad assets by stocklization and bondlization.For stocklization, we studied the proportion calculating of changingcreditor’s rights into stock right separately using Black-Scholes modeland Binomial model, and the conversion proportion formula was set up.Via revises, we gained the rational pricing proportion of corporation ofnon-coming into the market and containing stock right back purchaseagreement; We analysed the risk measure of changing creditor’s rightsinto stock right, and the risk measure formula of single company andmulti-company was founded; The risk controlling method for changing creditor’s rights into stock right and the bankrupt probability formulawere got; The result analysis for changing creditor’s rights into stockright and a standard of evaluating the result analysis were shown.For the bond, the appraisal of company’s stock, the appraisal ofcompany’s bond and the option analysis of the convertible bond wereinvestigated, and the pricing formula of the convertible bond was gained.更多还原