CEV模型下的可分离交易可转换债券的定价

发布时间：2018-04-05 11:48

本文选题：可分离交易可转换债券　切入点：常弹性方差　出处：《天津大学》2013年硕士论文

【摘要】：1843年,全球首例可转换债券在美国发行。历经160多年的发展与创新,世界可转债市场已日趋成熟和繁荣。我国的可转债市场从90年代初的试点阶段逐步过渡到近几年的较快发展阶段,已经得到越来越多投资者的认可。2006年5月8日，《上市公司证券发行管理办法》首次将可分离交易可转债列为上市公司再融资品种,预示着可转债市场更为广阔的发展空间。可分离交易可转债的定价问题已成为可转债研究领域的一项重要研究内容。目前，国内外对可分离交易可转债的研究已经取得了很大进展，但这些研究大多是从定性的角度来考虑可分离交易可转债与普通可转债的区别以及可分离交易可转债的融资问题。本文将从定量分析的角度给出可分离交易可转债的价格公式。本文首次将CEV模型引入可分离交易可转债定价研究中，假设市场上仅存在两种资产：风险资产和无风险资产。在风险资产价格服从CEV模型的情况下，，利用Feller引理，结合可分离交易可转债的模型，给出了可分离交易可转债的价格公式。本文的另一个创新点在于巧妙地将非中心卡方分布方法应用于期权定价中，使可分离交易可转债的价格公式是非中心卡方分布的形式，得到了理想的解析解。最后对得到的价格公式进行了分析，给出了其各部分的经济学意义。
[Abstract]:In 1843, the world's first convertible bond was issued in the United States.After 160 years of development and innovation, the world convertible bond market has become increasingly mature and prosperous.China's convertible bond market has gradually transitioned from the pilot stage in the early 1990s to the relatively rapid development stage in recent years.On May 8, 2006, the Management measures of Securities issuance of listed companies listed convertible bonds as the refinancing varieties of listed companies for the first time, indicating a broader development space for the convertible bond market.The pricing of convertible bonds has become an important research content in the field of convertible bonds.At present, great progress has been made in the research of separable tradeable convertible bonds at home and abroad.However, most of these studies consider the difference between convertible bonds and ordinary convertible bonds and the financing of convertible bonds.In this paper, the price formula of separable convertible bonds is given from the angle of quantitative analysis.In this paper, the CEV model is introduced into the pricing of convertible bonds for the first time. It is assumed that there are only two kinds of assets in the market: risky assets and risk-free assets.In the case of risk asset price service from CEV model, using Feller Lemma, combined with the model of separable tradeable convertible bonds, the price formula of separable tradeable convertible bonds is given.Another innovation of this paper is that the off-center chi-square distribution method is skillfully applied to the option pricing, so that the price formula of separable tradeable convertible bonds is the form of non-central chi-square distribution, and the ideal analytical solution is obtained.Finally, the price formula is analyzed, and the economic significance of each part is given.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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