中国市场可转换债券的定价研究

发布时间：2018-01-08 12:36

本文关键词：中国市场可转换债券的定价研究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：当今中国市场,股市低迷,股票价格走势难以预测,给投资者的投资行为增加了风险。可转换债券作为一种既可以在股价上涨时转换为股票,又能够在股价下跌时继续作为债券持有的特殊交易产品,具有独特的优势。本文共分为六章,主要从不同角度、采取不同方法探讨可转换债券,并运用相关模型,将可转换债券估值日与到期日之间的时间进行离散化,探讨每个离散节点的权利执行情况。最后以当前我国市场的个体为例,探讨其价值的大小。第一章,先简单叙述国内外可转换债券诞生及进一步完善的历程,其次叙说了当前我国这一产品的情况。接下来,分别列举这一产品在国内和国外研究的现状。最后,给出了本文的创新点。第二章,简单的介绍可转换债券所具有的特点以及其自身的优点,提出定价的重要性及现实意义。第三章,分别介绍了 Monte Carlo模拟法、三叉树模型和债权分离法三种数值方法,并分别应用这三种方法估计我国市场可转换债券的价值。第四章,列举了会对这一产品的价值带来变动的因素,并分析了影响程度和方向。第五章,运用编程软件以及Excel进行简单数据处理,应用第三章介绍的几种方法,分别对选取的样本债券进行实证检验,求出理论上的价值,并横向对比这几种定价方法,与当前市场价格进行比较。同时,分析了误差率。第六章,对整个定价作出了结论陈述,并提出了之后的方向。
[Abstract]:In today's Chinese market, the stock market is depressed and the trend of stock prices is difficult to predict, which increases the risk to investors' investment behavior. Convertible bonds can be converted into stocks when the stock price rises. This article is divided into six chapters, mainly from different angles, using different methods to explore convertible bonds. Using the relevant model, the time between the valuation date and maturity date of convertible bonds is discretized to discuss the implementation of the rights of each discrete node. Finally, taking the individual in the current market of China as an example. The first chapter briefly describes the birth and further improvement of convertible bonds at home and abroad, and then describes the current situation of this product in China. Finally, this paper gives the innovation of this article. Chapter two, briefly introduces the characteristics of convertible bonds and its own advantages. The importance and practical significance of pricing are put forward. Chapter three introduces three numerical methods: Monte Carlo simulation method, triple-tree model and creditor's rights separation method. And using these three methods to estimate the value of convertible bonds in China's market. 4th chapter, enumerates the factors that will bring changes to the value of this product, and analyzes the impact degree and direction. 5th chapter. Using programming software and Excel for simple data processing, using several methods introduced in the third chapter, the selected sample bonds are tested empirically, and the theoretical value is obtained. At the same time, the error rate is analyzed in Chapter 6th, the conclusion of the whole pricing is stated, and the future direction is put forward.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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