带强制性特别向下修正条款的可转债定价研究
发布时间：2018-08-30 08:18
【摘要】：我国市场上带有强制性特别向下修正条款的可转债中嵌套的期权具有亚式期权的性质,其定价模型中的终值条件和边界条件与普通的可转债定价模型有很大差别,模型的求解也更为困难。文章按照亚式期权的模型对其定价方法进行了详细的分析,并利用最小二乘蒙特卡罗模拟方法对此模型进行了求解,从最终的数值结果可以看出,定价结果十分理想,我国此类转债的市场价格与理论价格非常吻合。
[Abstract]:The nested options in convertible bonds with mandatory downward revision clause have the property of Asian option. The final value conditions and boundary conditions in the pricing model are quite different from those in the ordinary convertible bond pricing model. It is also more difficult to solve the model. In this paper, the pricing method of Asian option is analyzed in detail, and the model is solved by using the least square Monte Carlo simulation method. From the final numerical results, we can see that the pricing results are very satisfactory. The market price of this kind of convertible bond in China is very consistent with the theoretical price.
【作者单位】： 上海财经大学金融学院;
【基金】：国家自然科学基金资助项目(10771131) 教育部科技创新工程重大项目培育资金资助项目(708040) 上海财经大学“211工程”三期重点学科建设资助项目
【分类号】：F832.51
[Abstract]:The nested options in convertible bonds with mandatory downward revision clause have the property of Asian option. The final value conditions and boundary conditions in the pricing model are quite different from those in the ordinary convertible bond pricing model. It is also more difficult to solve the model. In this paper, the pricing method of Asian option is analyzed in detail, and the model is solved by using the least square Monte Carlo simulation method. From the final numerical results, we can see that the pricing results are very satisfactory. The market price of this kind of convertible bond in China is very consistent with the theoretical price.
【作者单位】： 上海财经大学金融学院;
【基金】：国家自然科学基金资助项目(10771131) 教育部科技创新工程重大项目培育资金资助项目(708040) 上海财经大学“211工程”三期重点学科建设资助项目
【分类号】：F832.51
【参考文献】
相关期刊论文 前1条
1 陈盛业;王义克;;奇异期权与中国可转债定价[J];清华大学学报(自然科学版);2007年06期
【共引文献】
相关期刊论文 前5条
1 刘大巍;陈启宏;张，
本文编号：2212512
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