基于完全拆解法的可转债定价研究

发布时间：2018-07-14 22:17

【摘要】：可转换债券作为复合型金融衍生产品,业已成为一种重要的投融资工具,因而正确评估可转债的价值对于发行人和投资者都非常重要。正因为如此,可转换债券的定价一直是微观金融领域的研究热点之一。可转换债券是一种同时涉及债券、股票和期权的复杂混合衍生证券,为其定价也一直是相关领域的难点之一。国外的定价研究一般采用数值方法,但是国内可转债条款过于复杂,运用数值方法会存在精度方面的问题。在各种方法中,定价效率和精度最高的是解析式法。本文从可转债的特性与要素入手,介绍了可转换债券的价值构成及其影响因素,然后简单介绍了可转债定价研究的各种具有代表性的模型方法,并对各自其优缺点进行了比较分析。接着本文在借鉴国内外研究成果的基础上,针对我国可转换债券具体特点,以股票价格作为标的资产,依据风险中性定价原理,采用完全拆解定价法和鞅定价法,推导出具有赎回软约束和信用风险的付息可转换债券的定价解析式。并在此基础上,结合国内可转债市场的实际情况,对定价参数作适当的修正。第一、引入与股价负相关并且与股价波动率正相关的信用利差调节因子、并将计算出来的动态信用利差代替原来的固定信用利差;第二、从财务危机成本理论出发结合我国普遍存在的推迟赎回现象,得出我国可转债的实际赎回触发价格。同时本文还提出了一种衡量转股向下修正条款价值的粗略方法,并据此求得包含转股向下修正条款的可转债理论价格,使得该解析式具有更高的精度。在实证部分中,本文并未如其他大多数文献一样,只是选取单个或者早已到期的可转债样本,而是选取全部正处于交易期并符合一定条件的六只可转债样本。将计算所得的参数修正前后的理论价格与市场价格进行比较,得出两组定价误差率,并对该两组定价误差率的统计量进行比较,得出本文的参数修正具有一定的合理性。同时两组定价误差率都较小,验证了本文定价解析式的有效性和精确性。然后通过理论价格与市场价格的协整检验,本文发现,两者存在一定的协整关系,说明理论价格与实际价格在长期中有着相同的趋势,再一次验证了本文中定价方法的效率。本文接着从模型、样本和市场三个方面解释了定价误差存在的原因,实证的最后部分通过引入定价误差项的滞后因子,使模型价格更具有预测性。本文的最后部分提出了研究的成果与不足,并给出了几点政策建议。
[Abstract]:As a compound financial derivative, convertible bonds have become an important investment and financing tool, so it is very important for issuers and investors to evaluate the value of convertible bonds correctly. Because of this, the pricing of convertible bonds has been one of the hotspots in the field of microfinance. Convertible bonds are a kind of complex mixed derivative securities which involve bonds, stocks and options simultaneously. Pricing them has always been one of the difficulties in related fields. Overseas pricing research generally adopts numerical method, but the domestic convertible bond terms are too complicated, there will be some problems in the precision of using the numerical method. Among the various methods, the analytical method is the most efficient and accurate method. Starting with the characteristics and elements of convertible bonds, this paper introduces the value composition of convertible bonds and its influencing factors, and then briefly introduces various representative model methods of pricing research on convertible bonds. Their advantages and disadvantages are compared and analyzed. Then, based on the domestic and foreign research results, aiming at the specific characteristics of convertible bonds in China, taking the stock price as the underlying asset, according to the risk-neutral pricing principle, the paper adopts the complete dismantling pricing method and the martingale pricing method. The pricing analysis of interest-paying convertible bonds with redemption soft constraint and credit risk is derived. On this basis, combining with the actual situation of the domestic convertible bond market, the pricing parameters are modified appropriately. First, the credit spread adjustment factor which is negatively correlated with the stock price and positively related to the stock price volatility is introduced, and the calculated dynamic credit spread replaces the original fixed credit spread. Based on the theory of financial crisis cost and the phenomenon of delayed redemption in China, the trigger price of actual redemption of convertible bonds in China is obtained. At the same time, this paper puts forward a rough method to measure the value of the downward correction clause, and obtains the theoretical price of convertible bond which includes the downward correction clause, which makes the analytical formula more accurate. In the empirical part, this paper does not like most other literature, just select a single or long overdue convertible bond samples, but all are in the trading period and meet certain conditions of six convertible bond samples. The theoretical price before and after the parameter correction is compared with the market price, and two groups of pricing error rates are obtained, and the statistics of the two sets of pricing error rates are compared. It is concluded that the parameter correction in this paper is reasonable to some extent. At the same time, the two sets of pricing error rates are small, which verifies the validity and accuracy of the pricing analytic formula in this paper. Then through the cointegration test of the theoretical price and the market price, we find that there is a certain cointegration relationship between the theoretical price and the actual price, which shows that the theoretical price and the actual price have the same trend in the long run, which verifies once again the efficiency of the pricing method in this paper. This paper then explains the reasons of pricing error from three aspects: model, sample and market. The last part of the empirical study introduces the lag factor of pricing error term to make the model price more predictable. In the last part of this paper, the research results and shortcomings are presented, and some policy suggestions are given.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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