基于修正三叉树模型的我国上市可转债定价实证研究

发布时间：2018-08-14 17:00

【摘要】：可转换债券（简称可转债）是指发行人依法发行，在一定期间内，可按一定比例或价格转换成一定数量的标的证券的特殊公司证券。其具有优良的融资与投资功能，这使得其成为目前发展最快的金融衍生品之一。在国内已有的10余年可转债定价研究中，常见的研究路径忽略了国外模型假设条件与参数在中国并不适合，使得定价效率不高，立足我国实际开发出适合我国可转债市场的定价模型具有重要的理论与实际意义。总体而言，影响可转债定价精确性的主要方面在于：定价模型的选择或开发；模型参数的估算；可转债嵌入条款价值的数学表达问题。为此，，本文完成了以下工作：（1）结合我国可转债市场及已有模型定价效率,选择具有更高定价效率的传统三叉树模型，针对该模型缺陷，推导出我国可转债标的股票对数价格运动规律的关系式，以此为基础推导修正三叉树模型；（2）推导出重要模型参数：标的股票波动率在我国的计算公式；（3）分析推导出我国可转债嵌入条款价值数学表达式。以上也是本文的三个创新点，是本文提高可转债模型定价效率的主要方向。利用以上三个结论，结合我国目前19支上市可转债实际数据与MATLAB软件，得到传统三叉树模型与修正三叉树模型的定价效率。可以看到两者都具有较高定价效率，但修正三叉树模型的定价效率更高。本文具体内容：阐明研究背景、研究意义；对国内外研究进行综述；介绍本文章节组织结构与研究思路。概述可转债相关知识；发展历史和现状；可转债常见条款介绍；可转债定价特点分析等；简要介绍可转债在我国的发展情况。介绍目前常用传统定价模型，对比优劣；分析在传统定价模型中具有较高定价效率的传统三叉树模型，分析其定价相关因素：如结合我国实际数据推导出符合我国可转债标的股票波动率的计算公式；对嵌入条款进行了分析，得到嵌入条款价值的数学计算式；然后应用到我国目前19支上市可转债的定价中去，运用MATLAB得出模型价格，对比实际价格，算出传统三叉树模型定价效率。针对传统三叉树模型先验设定标的股票对数价格运动规律问题，结合我国19支上市可转债2011年中235个交易日的数据，推导出适合我国标的股票对数价格运动规律的关系式；推导修正三叉树模型，结合我国目前19支上市可转债实际数据，运用MATLAB进行实证检验，得出修正三叉树模型定价效率。对比分析传统三叉树模型定价效率与修正三叉树模型定价效率，模型价格与实际价格差距原因，得到更适合我国可转债定价模型。最后综合全文得出研究结论、提炼本文创新点，提出促进我国可转债定价模型方法的发展建议与指出本文研究不足之处。
[Abstract]:Convertible bonds (convertible bonds for short) refer to special company securities issued by issuers in accordance with the law and which can be converted to a certain number of underlying securities according to a certain proportion or price within a certain period. It has excellent financing and investment functions, which makes it one of the fastest growing financial derivatives. In the domestic research on convertible bond pricing for more than 10 years, the common research paths ignore that the assumptions and parameters of foreign models are not suitable in China, which makes the pricing efficiency low. It is of great theoretical and practical significance to develop a pricing model suitable for China's convertible bond market. In general, the main aspects that affect the pricing accuracy of convertible bonds lie in the selection or development of pricing models, the estimation of model parameters, and the mathematical expression of the value of embedded clauses of convertible bonds. Therefore, the following work has been done in this paper: (1) considering the pricing efficiency of China's convertible bond market and the existing models, we select the traditional triple tree model with higher pricing efficiency, and aim at the defects of the model. The relationship of the logarithmic price movement of the underlying stocks of convertible bonds in China is derived and the modified tritree model is derived. (2) the important model parameters are derived: the calculation formula of the volatility of the underlying stocks in China; (3) analyze and deduce the mathematical expression of the value of the embedded clause of convertible bonds in China. These are also the three innovations of this paper, which is the main direction to improve the pricing efficiency of convertible bond model. Based on the above three conclusions, combined with the actual data of 19 convertible bonds listed in China and MATLAB software, the pricing efficiency of the traditional triple tree model and the modified triple tree model is obtained. It can be seen that both of them have higher pricing efficiency, but the modified tritree model is more efficient. The main contents of this paper are as follows: clarify the background and significance of the research; summarize the domestic and foreign studies; introduce the organizational structure and research ideas of this section. This paper summarizes the related knowledge of convertible bonds; the history and present situation of development; introduces the common terms of convertible bonds; analyzes the pricing characteristics of convertible bonds; and briefly introduces the development of convertible bonds in China. This paper introduces the traditional pricing models, compares the advantages and disadvantages, and analyzes the traditional tri-tree models, which have high pricing efficiency in the traditional pricing models. This paper analyzes the factors related to the pricing: such as deducing the calculation formula of the stock volatility according to the actual data of our country, analyzing the embedded clause and obtaining the mathematical formula of the value of the embedded clause; Then it is applied to the pricing of 19 convertible bonds in our country at present. The model price is obtained by using MATLAB, and the pricing efficiency of the traditional triple tree model is calculated by comparing the actual price. Aiming at the law of logarithmic price movement of stocks with traditional tri-tree model, combined with the data of 235 trading days in 2011 of 19 listed convertible bonds in China, the relationship formula suitable for the logarithmic price movement of underlying stocks in China is derived. Based on the actual data of 19 convertible bonds listed in China, this paper deduces the modified tritree model and makes an empirical test by using MATLAB to obtain the pricing efficiency of the modified tritree model. By comparing and analyzing the pricing efficiency of traditional tritree model and modified tritree model, the difference between model price and actual price is analyzed, and a more suitable pricing model for convertible bonds in China is obtained. Finally, the conclusion is drawn, the innovation of this paper is abstracted, the suggestions to promote the pricing model of convertible bonds in China are put forward, and the deficiencies of this study are pointed out.
【学位授予单位】：北京物资学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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