“徐工转债”发行定价的案例研究

发布时间：2018-08-31 08:14

【摘要】：本文首先结合相关文献基础回顾了可转债的发展过程,了解了可转债的发展历程和定价方法的演进。对可转债的研究,国外比较成熟,这与其发展历史长远有关,1977年,Ingersoll2最早使用Black-Scholes定价方法对可转债的定价问题进行研究,在研究基础可转债和可赎回可转债的时候,引入偏微分方程,提出了基于公司价值的单因素模型,获得了定价解析式。后期出现了有限差分法、二叉树法及蒙特卡洛模拟方法等。其次,本文对可转债的定义进行了解释,对可转债的要素进行了分析,本文还分析了影响可转债价格的因素,包括对应标的股价、无风险利率、票面利率等因素。本文分析了可转债与其他融资方式的优劣性,对比可转债与其他融资方式的成本优势和操作优势。随后对目前四种期权定价模型进行了阐述和对比分析,四种模型:B-S模型、二叉树模型、有限差分法及蒙特卡洛模拟法。而后是案例分析部分,首先对案例的背景进行了分析,分析了徐工转债的发行要素、发行情况及市场表现。并提出了本文案例分析的问题:徐工转债发行价格100元,其收盘价为94.92元,发行价格高出市场价格5.08%,发行价格有被高估的嫌疑。并且通过观察发行,徐工转债2014年7月18日才超过100元,期间8个月的市场表现都低于发行价格。此问题不是徐工转债个例,是整个可转债定价问题,我国目前发行可转债都是面值发行,由于可转债发行数量少,目前影响尚小,但是随着可转债市场的发展,发行定价就显得尤为重要。定价的不准确容易损害融资方和投资者的利益,且对市场产生不良影响。对于这种问题,本文选择三种定价方法进行分析,分别是B-S模型法、二叉树发及蒙特卡洛模拟法。最后是徐工转债的定价分析,根据本文的三种方法都可以看出,三种理论价格都低于发行价格,其中通过蒙特卡洛模拟法得出的理论价格最低,折价10.72%。B-S模型法的理论价格最接近,折价只有7.24%,它与收盘价的误差只有2.33%。其次是二叉树模型法的理论价格,与发行价的误差为9.97%,与收盘价的误差为5.43%。所以,根据上述分析可以得知,徐工转债发行价格被高估,B-S模型法最适用于徐工转债的定价。本文的意义,在可转债未大规模发行之前提出意见和见解,通过徐工转债的个案研究揭示可转债的发行定价问题,并且采用三种常见的定价模型进行对比分析得出最优模型,即B-S模型,该模型在适用性和实际操作过程中具有案例示范作用,可以改进推广。最后,本文在运用模型定价过程中设有假设条件,希望在后续研究中加以改进。
[Abstract]:This paper first reviews the development process of convertible bonds and understands the evolution of convertible bonds and pricing methods. The research on convertible bonds is mature abroad, which is related to its long history. In 1977, Ingersoll2 first used Black-Scholes pricing method to study the pricing of convertible bonds, while studying basic convertible bonds and redeemable convertible bonds. By introducing partial differential equation, a single factor model based on company value is proposed, and the pricing analytic formula is obtained. Finite-difference method, binary tree method and Monte Carlo simulation method were used in the later period. Secondly, this paper explains the definition of convertible bonds, analyzes the elements of convertible bonds, and analyzes the factors affecting the price of convertible bonds, including the corresponding underlying stock price, risk-free interest rate, coupon interest rate and so on. This paper analyzes the advantages and disadvantages of convertible bonds and other financing methods, and compares the cost advantages and operational advantages between convertible bonds and other financing methods. Then four kinds of option pricing models are described and compared. The four models are: 1: B-S model, 2) tree model, 2) finite difference method and Monte Carlo simulation method. Then there is the case analysis part. Firstly, the background of the case is analyzed, and the issuing factors, the issuing situation and the market performance of Xugong are analyzed. And put forward the problem of this paper case analysis: Xugong transfer bond issue price 100 yuan, its closing price is 94.92 yuan, the issue price is higher than the market price 5.08, the issue price has the suspicion of being overestimated. And by observing the issue, Xugong turned bonds into bonds on July 18, 2014, only more than 100 yuan, during the period of 8 months of market performance below the issue price. This problem is not an example of Xugong converting bonds, it is a whole convertible bond pricing problem. At present, convertible bonds are issued at face value in our country. Due to the small number of convertible bonds issued, the impact is still small at present, but with the development of the convertible bond market, Issue pricing is particularly important. Inaccurate pricing is likely to harm the interests of financiers and investors and have a negative impact on the market. For this problem, this paper chooses three pricing methods to analyze, namely, B-S model, binary tree and Monte Carlo simulation. Finally, it is the pricing analysis of Xugong conversion bond. According to the three methods of this paper, we can see that the three theoretical prices are all lower than the issuing price, among which the theoretical price obtained by Monte Carlo simulation method is the lowest. The theoretical price of the discount 10.72%.B-S model method is the closest, the discount price is only 7.24%, and the error between it and the closing price is only 2.33. Secondly, the theoretical price of the binary tree model method is 9.97 with the issue price, and the error with the closing price is 5.43. Therefore, according to the above analysis, we can know that the price of Xugong convertible bonds is overvalued and the B-S model method is the most suitable for the pricing of Xugong convertible bonds. The significance of this paper, before the large-scale issuance of convertible bonds, put forward the opinions and opinions, through Xugong's case study to reveal the issue of convertible bonds pricing problem, and use three common pricing models for comparative analysis to obtain the optimal model. That is, B-S model, which has case demonstration function in applicability and practical operation, can be improved and popularized. Finally, there are some hypothetical conditions in the pricing process of the model, which we hope to improve in the following research.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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