约化框架下带有信用风险的永久可转债定价

发布时间：2018-01-26 03:43

本文关键词： 信用风险违约可转债转股回购变分不等方程自由边界　出处：《同济大学学报(自然科学版)》2010年06期 　论文类型：期刊论文

【摘要】：将信用风险引入到可转债的定价中,通过修改股票价格的运动过程,得到了一个具有违约风险的股票价格运动过程,然后将其转化为风险中性测度下的运动过程.通过将回收率直接引入到贴现现金流中,得到了可违约永久可转债价格的变分不等方程,并求出了该变分不等方程的显式解.同时对于可回购的可转债,根据息票率的范围,可转债的定价分为3大类,并分别求出每类可转债的价格.最后指出,无论是否具有回购条款,可违约可转债的价格和无违约可转债的价格是相容的.
[Abstract]:The credit risk is introduced into the pricing of convertible bonds and a stock price movement process with default risk is obtained by modifying the stock price movement process. Then it is transformed into the motion process under the risk neutral measure. By introducing the recovery directly into the discounted cash flow, the variational inequality equation of the price of the defaultable permanent convertible bonds is obtained. At the same time, the pricing of convertible bonds can be divided into three categories according to the range of coupon rate, and the prices of each kind of convertible bonds are calculated respectively. The price of a defaultable convertible bond is compatible with that of a non-default convertible bond whether or not it has a repurchase clause.
【作者单位】：同济大学数学系;
【基金】：国家自然科学基金资助项目(10671144) 国家“九七三”重点基础研究发展计划资助项目(2007CB814903)
【分类号】：F224;F830.91
【正文快照】： 可转债是一种具有债权和权益特征的投资证券.它不但赋予持有者收取利息和本金的权利,而且还赋予持有者在到期日之前转换成约定数目普通股票的权利.与此同时,可转债通常也包含回购条款,使得发行者可以按照约定的价格回购债券.可转债的定价模型通常分为2类.一类模型是以公司资

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