中国可转换公司债券的定价研究

发布时间：2018-03-31 17:23

本文选题：可转换公司债券　切入点：定价模型　出处：《首都经济贸易大学》2013年硕士论文

【摘要】：近年来，我国可转换公司债券市场发展迅速，目前已成为我国金融市场发展的重点。与此同时，可转换公司债券的研究也越来越受证券公司、基金公司和上市公司等市场参与者的关注。可转换公司债券的价值研究既是可转债研究的基础，也是核心。可转换公司债券定价研究对其发行定价和投资实践都有重要的实际指导意义。此外，可转换公司债券本质上属于混合债券，兼具普通债券和嵌入式期权两者的特性，是一种依赖于股票和利率等多种标的、价值形态异常复杂、路径依赖特征极强的复合美式衍生品，因此该类定价研究也有重要的理论意义。首先，本文对可转换公司债券进行概述，从理论上分析和对比了各种定价方法，发现二叉树定价法和LSM定价法具有较明显的优势。在此基础上，本文尝试在利率期限结构、信用风险、波动率、转股权、赎回权和回售权、路径依赖等侧面对二叉树定价法和LSM定价法进行了比较全面的改进。本文还在MATLAB平台上实现相关定价模型的程序化。然后，本文针对我国沪深两市的可转换公司债券进行了实证研究。研究表明：（1）LSM定价法优于二叉树定价法，更加适合我国当前可转换公司债券的定价；（2）LSM定价法追踪的定价效果仍然较好，模型具有一定的稳定性。在得出实证研究结果的同时，本文还提出了将LSM定价法应用于实践的两点设想。最后，，本文提出建议（1）根据我国市场的实际情况，应尽可能多用LSM定价法对可转换公司债券定价；（2）在实际运用中应更多地考虑到利率期限结构、信用风险、波动率、转股权、赎回权和回售权、路径依赖等问题；（3）在将LSM模型运用于投资实践时，应当考虑策略时滞等问题。
[Abstract]:In recent years, China's convertible bond market has developed rapidly, and has become the focus of the development of our financial market.At the same time, the research of convertible corporate bonds has been paid more and more attention by market participants such as securities companies, fund companies and listed companies.The research on the value of convertible bonds is not only the foundation but also the core of convertible bonds.The study of convertible bond pricing has important practical significance for its issuing pricing and investment practice.In addition, convertible corporate bonds are essentially mixed bonds, with the characteristics of both ordinary bonds and embedded options. They are highly dependent on stocks and interest rates, and their value forms are extremely complex.Path-dependent compound American derivatives have strong characteristics, so this kind of pricing research also has important theoretical significance.Firstly, this paper gives an overview of convertible corporate bonds, analyzes and compares various pricing methods theoretically, and finds that the binomial tree pricing method and the LSM pricing method have obvious advantages.On this basis, this paper attempts to improve the binomial tree pricing method and LSM pricing method in terms of term structure of interest rate, credit risk, volatility, equity conversion, redemption and resale right, path dependence and so on.This paper also realizes the programming of related pricing model on MATLAB platform.Then, this paper makes an empirical study on convertible corporate bonds in Shanghai and Shenzhen stock markets.The research shows that the pricing method is better than the binomial tree pricing method, and it is more suitable for the current pricing of convertible corporate bonds in China. The tracking effect of the LSM pricing method is still good, and the model has certain stability.At the same time, this paper puts forward two tentative ideas of applying LSM pricing method to practice.Finally, this paper puts forward some suggestions: according to the actual situation of our country's market, we should use LSM pricing method to price convertible corporate bonds as much as possible. In practical application, we should take more account of term structure of interest rate, credit risk, volatility and equity conversion.When applying the LSM model to the investment practice, the delay of strategy should be considered.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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