考虑仿射交易成本的可转债定价研究

发布时间：2018-04-05 20:36

本文选题：可转债定价　切入点：仿射交易成本　出处：《西南财经大学》2013年硕士论文

【摘要】：可转换债券(Convertible bond, CB,简称“可转债”)是一种具有债券和股票双重特征的复合融资工具。对可转债的发行公司而言,其利率一般比普通债券低,这样就能降低公司的筹资成本。对可转债的投资者来说,这种债券既能在保证获得基本的债券利息基础上,又能获得股价上涨而实施转股所得的潜在资本利得收益。因此,近年来我国的可转债市场发展比较迅速。然而,可转债也像期权那样是舶来品,在国内的发展只有近二十年的历史,所以我国的可转债定价研究相对薄弱。针对我国可转债市场的发展状况,本文借鉴了前人研究的等比例交易成本可转债定价模型,结合实际可转债转股后的交易中确实存在最低交易成本的情况,因而本文用仿射交易成本去替代原模型的等比例交易成本。改进后的模型虽然在推导的过程中难度增加了,但是更能接近可转债转股后的实际交易成本,从而使其定价更加准确。此外,为了验证本文改进后模型的效果,本文选取了万科转债做了实证研究。比较了其对应的股票万科A在原模型和本文模型中计算出来的佣金交易成本,结果显示本文模型算出来的佣金交易成本与真实的佣金交易成本误差较小,而原模型算出来的佣金交易成本与真实的佣金交易成本误差较大。在实证结果的基础上,本文提出了一些改进最低佣金交易成本的建议。本文由五个部分组成,第一部分回顾了国内外可转债定价理论的发展进程和研究成果。第二部分和第三部分介绍了可转债的基本概念和可转债定价常用的一些研究方法。第四部分在伊藤引理,无套利定价理论(APT)和期权定价理论(0PT)的基础上推导出了本文的仿射交易成本可转债定价模型。第五部分对比分析了原模型与本文模型计算出来的佣金交易成本与实际的佣金交易成本的误差率和误差额大小。
[Abstract]:Convertible bond (CBs) is a compound financing tool with the characteristics of bond and stock.For convertible bond issuers, the interest rate is generally lower than ordinary bonds, thus reducing the company's funding costs.For convertible bond investors, this bond can not only guarantee the basic bond interest, but also gain the potential capital gains from the stock price rise.Therefore, China's convertible bond market has developed rapidly in recent years.However, convertible bonds, like options, are imported and developed in China for only 20 years, so the pricing research of convertible bonds in China is relatively weak.In view of the development of the convertible bond market in China, this paper draws lessons from the pricing model of equal-proportion transaction cost convertible bond, and combines with the situation that the minimum transaction cost does exist in the transaction after the actual convertible bond is converted into stock.Therefore, the affine transaction cost is used to replace the equal-proportional transaction cost of the original model.The improved model is more difficult to deduce, but it is more close to the actual transaction cost of convertible bond to equity, which makes the pricing more accurate.In addition, in order to verify the effect of the improved model, this paper selects Vanke debt to do empirical research.This paper compares the commission transaction cost calculated by the corresponding stock Vanke A in the original model and the model in this paper. The results show that the error between the real commission transaction cost and the real commission transaction cost calculated by this model is small.But the original model calculates the commission transaction cost and the real commission transaction cost error is big.Based on the empirical results, this paper puts forward some suggestions to improve the minimum commission transaction cost.This paper consists of five parts. The first part reviews the development process and research results of convertible bond pricing theory at home and abroad.The second part and the third part introduce the basic concept of convertible bond and some common research methods of convertible bond pricing.In the fourth part, the pricing model of affine transaction cost convertible bonds is derived on the basis of Ito Lemma, APT and option pricing theory.In the fifth part, the error rate and margin of error between the original model and this model are compared with the actual commission transaction cost.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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