【作者】 刘朝霞；

【导师】 丁正中；

【作者基本信息】 浙江工商大学 ， 数量经济学， 2008， 硕士

【摘要】 可转换债券是一种复合性融资工具,可由债券在一定的时间按照一定的比例转换成股票,因此兼具债券、股票和期权的特征。对于可转换债券投资者而言,既可以选择持有债券,要求公司还本付息;也可选择在约定的时间内将债券转换成标的股票,享受股利分配或资本增值。可转换债券作为一种金融衍生品种,具有风险低、收益高的特点,近年来在我国发展十分迅速,市场日益成熟和繁荣。但是,由于可转换债券引入我国时间不长,市场投资者对其价值还不是很了解,相关的理论研究还集中在定性分析和条款设计上。在这个背景下本文研究可转换债券价值,对我国可转换债券市场以及金融产品的创新都有非常重要的理论意义和现实意义。本文在传统的Black-Scholes可转换债券定价模型的基础上加以一定的改进,使可转换债券的定价更准确。本文用跳扩散模型代替传统的几何布朗运动来描述股票价格运动的过程,把跳扩散模型下的期权定价方法运用到可转债定价中去。本文的核心内容由两部分组成。第一部分建立了以股票价格为基础变量的单因素可转债定价模型。首先利用无套利原理导出可转债满足的偏微分方程,然后通过迭代法得出定价公式,最后以南山转债为例进行应用分析。第二部分对第一部分进行拓展,引入随机利率模型,建立以股票价格和利率为基础变量的双因素定价模型,利用鞅方法得出定价公式。但是本文仍没有考虑可转债的转股价格调整条款和转股价格修正条款,由于这些因素具有极大的不确定性,所以本文也就没有考虑,这将是未来有待进一步研究方向。更多还原

【Abstract】 Convertible bonds(CBs) are a kind of complex financial instruments, that endow investors the rights to hold the bonds till maturity or to transform the bonds into stocks in accordance with a certain proportion, since they combine the features of bonds、stocks and options. As CBs holders, they can choose to hold bonds and ask the issuing company to pay interest and capital back or to convert the bonds to the underlying stocks to gain the dividend and premium. In China CBs as low-risk and high-return financial derivatives developed rapidly, convertible market becomes more mature and prosperous in recent years.However because the time from convertible bond introduced in our national financial market was still short, investors can’t understand their value enough, and there are only a few system studies on convertible bond pricing, the primarily research on the convertible bond still focused on the qualitative analysis and clause design, pricing study was not enough. So the research on the pricing of convertible bond has very important theoretical and practical meaning to China’s financial market and product innovation. This paper improves the traditional Black-Scholes pricing model to make the pricing of CBs more accurate. The jump-diffusion model instead of the traditional geometric Brown motion to describe the movement of stock price, and the pricing method of options based on the jump-diffusion model is applied to price CBs.The core of this paper consists of two parts. Firstly based upon a underlying variables: stock, the single-factor pricing model of CBs is derived through no-arbitrage principle, then the iterative method is applied for a pricing formula, finally an empirical research on Nanshan’ CBs is carried out. The second part introduces the random interest rate model, and establishes the two-factor pricing model of CBs based on underlying variables: interest rate and stack, using the Martingale method for solution. But this paper still did not consider the clauses of adjusting convertible price and some other factors that influence the value of CBs. This is a task for future study.更多还原