考虑稀释效应的可转换债券定价研究

发布时间：2018-11-14 16:02

【摘要】：可转换债券作为一种比较新的融资工具，已经成为我国上市公司再融资的重要渠道之一。然而，，可转换债券是一种非常复杂的混合衍生证券，既具有债券性又具有股权性，其定价也是十分复杂。目前为可转换债券定价的方法主要有：偏微分方程法、有限差分法、二叉树定价法和蒙特卡罗模拟定价法等。为了综合考虑标的股票价格、利率和信用风险等因素，以及模型的可操作性，本文选取了二叉树方法为可转换债券进行定价。首先，本文介绍了可转换债券的发展以及投资优势和风险，对可转换债券的基本要素和条款及其价值影响因素做了详细的分析。最终为模型的建立找出了最关键的三个影响因素：标的股票价格、无风险利率以及信用风险。其次，本文阐述了可转换债券的定价原理，为可转换债券的定价做了理论准备。对可转换债券常用的定价方法做了详细的研究，最终确立了以股价和利率为基础的两因素二叉树模型，并且对可转换债券的基本条款和转换条款做了价值分析以及模型化处理。最后，根据我国可转换债券的具体特点对模型进行了修正，引入了信用价差以及稀释因子，由此建立了我国可转换债券基于稀释效应的定价模型。本文选取了11只正在流通的可转换债券作为样本对模型进行了验证。通过Matlab程序实现了模型的求解过程，证明了模型的适用性。
[Abstract]:As a relatively new financing tool, convertible bonds have become one of the important channels for refinancing of listed companies in China. However, convertible bond is a very complex mixed derivative securities, which has both bond and equity, and its pricing is also very complex. At present, the pricing methods for convertible bonds are: partial differential equation method, finite difference method, binary tree pricing method and Monte Carlo simulation pricing method. In order to comprehensively consider the underlying stock price, interest rate and credit risk, as well as the maneuverability of the model, this paper selects the binary tree method to price convertible bonds. First of all, this paper introduces the development of convertible bonds, investment advantages and risks, and makes a detailed analysis of the basic elements and terms of convertible bonds and the factors affecting their value. Finally, three key factors are found for the establishment of the model: the underlying stock price, the risk-free interest rate and the credit risk. Secondly, this paper expounds the pricing principle of convertible bonds and makes theoretical preparations for the pricing of convertible bonds. This paper makes a detailed study on the common pricing methods of convertible bonds, and finally establishes a two-factor binary tree model based on stock price and interest rate, and makes value analysis and modelization of the basic terms and terms of convertible bonds. Finally, according to the specific characteristics of convertible bonds in China, the model is modified, credit spreads and dilution factors are introduced, and a pricing model of convertible bonds based on dilution effect is established. In this paper, 11 convertible bonds in circulation are selected as samples to verify the model. The process of solving the model is realized by Matlab program, and the applicability of the model is proved.
【学位授予单位】：燕山大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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