基于LSM模型的中国可转换债券定价分析

发布时间：2018-03-29 00:40

本文选题：最小二乘蒙特卡洛　切入点：LSM　出处：《复旦大学》2013年硕士论文

【摘要】：可转债是一种复杂的金融衍生产品,含有多种内嵌期权,是典型的路径依赖型证券。随着我国可转债市场不断发展,对可转债进行合理定价的研究将会给发行公司和投资者分析可转债的价值提供依据。本文采用LSM模型,综合考虑转股价格向下修正条款、有条件的赎回及回售条款,对可转债定价进行了理论分析及实证研究,并对LSM模型进行了适当的改进,以期获得预测可转债价格的效果。本文首先对国内外的可转债定价理论和模型进行了细致的梳理,并介绍了和LSM模型相关的理论发展。然后介绍了可转债的基本概念和中国的可转债市场,在此基础上用LSM模型对我国的可转债进行了定价分析,并研究了波动率和信用风险对LSM模型的适用性。而后针对无风险利率和波动率两个要素对LSM模型进行了改进,并研究了它们对于可转债价格的敏感性。最后通过实证得到了LSM的近似模型——线性回归模型。本文的理论意义在于找出适合中国可转债市场的定价模型,而实际和现实意义在于通过这样的模型对未来的可转债价格进行预测,进而获得正确的投资决策。
[Abstract]:The convertible bond is a kind of complex financial derivatives, containing a variety of embedded options, is a typical path dependent securities. As China's convertible bond market development, will study the reasonable pricing of convertible bonds to the issuer and investors to analyze the value of convertible bond is provided. This paper uses LSM model, considering the conversion price the downward revision clause, conditional redemption and resale pricing of convertible bonds for the theoretical analysis and empirical research, and the LSM model was improved to predict the price of convertible bonds in order to obtain the results.
Based on the domestic and foreign convertible bond pricing theory and models for a detailed analysis, and introduces the development of the theory and the LSM model. Then it introduces the basic concepts of convertible bonds and China convertible bonds market, based on the LSM model for pricing analysis of Chinese convertible bonds, and study the applicability of the volatility and credit risk of the LSM model. Then the risk-free interest rate and volatility of two elements of the LSM model was improved, and to study their sensitivity to the price of convertible bonds. Finally, through the empirical model to obtain the approximate LSM linear regression model.
The theoretical significance of this paper is to find out a pricing model suitable for China's convertible bond market, and the practical and practical significance is to predict the future convertible bond price through such a model, so as to get the correct investment decision.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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