含股权稀释效应和债务杠杆作用的可转债定价

发布时间：2018-06-06 09:14

本文选题：可转债 + 定价研究　；参考：《系统工程》2012年06期

【摘要】：股权稀释效应和债务杠杆作用可通过改变股权价值和风险影响可转债价值,从而对可转债定价的产生综合影响。基于认股权证定价模型,本文建立了含可转债稀释效应和杠杆作用的可转债定价模型,并讨论了债务杠杆作用下基于MM理论的波动率修正方法。理论分析和数值算例表明,可转债价值受稀释效应和杠杆作用综合作用影响,稀释效应和杠杆作用对可转债价值分别产生正向和负向的影响。在可转债定价中同时考虑稀释效应和杠杆作用及其修正方式为可转债定价提供了一种新的思路。
[Abstract]:The effect of equity dilution and debt leverage can affect the value of convertible bonds by changing the value of equity and risk, thus having a comprehensive impact on the pricing of convertible bonds. Based on the pricing model of warrants, this paper establishes a pricing model of convertible bonds with dilution effect and leverage, and discusses the volatility correction method based on MM theory under debt leverage. Theoretical analysis and numerical examples show that the value of convertible bonds is affected by the comprehensive effects of dilution and leverage, and the effects of dilution and leverage have positive and negative effects on the value of convertible bonds, respectively. The consideration of dilution and leverage in convertible bond pricing as well as its modification provides a new way of thinking for convertible bond pricing.
【作者单位】：华南理工大学工商管理学院;
【基金】：国家社科基金重大(招标)项目(11&ZD156) 广东省高等学校珠江学者岗位计划项目
【分类号】：F224;F830.91

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