可转换债券的无差别定价

发布时间：2018-01-16 01:27

本文关键词：可转换债券的无差别定价　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着资本市场的竞争逐渐激烈,融资成本越来越高,具有较低票面利率的可转换债券深受企业的喜爱。同时,可转换债券又是股权投资者和固定收益债券投资者都可以涉足的金融工具,因此中国的可转换债券市场在近几年发展十分迅速。借鉴国外关于可转换债券定价的成熟理论,对符合我国国情的可转换债券定价及应用研究有很大的推动作用。国内外有关可转换债券的定价研究主要有：以公司资产作为标的的结构化方法以及以公司股票价格作为标的的约化法两种,它们各有利弊。考虑到中国市场的特点,公司资产价值和股票价格在很多时候相关性不大,但其可转换债券又与两者紧密相关,因此,我们参考有关文献做法,将这两者作为影响可转换债券价格的因素,采用效用无差别定价框架,对可转换债券进行定价研究。本文根据可转换债券实际情况,考虑带有回售条款的可转换债券,将公司资产价值和股票价格共同作为影响可转换债券价格的因素,利用效用无差别定价方法对这种可转换债券定价建立相应的数学模型,得到一类非齐次偏微分方程的混合问题,应用偏微分方程的分离变量法给出了这种可转换债券的效用无差别定价的级数形式的显式解,这一显式解具有计算方便、收敛迅速的特点。最后,分析了风险厌恶系数、公司价值和股票价格的相关系数等参数对可转换债券的影响。
[Abstract]:With the fierce competition in the capital market, the financing cost is higher and higher. Convertible bonds with lower coupon rate are popular among enterprises. Convertible bonds are also financial instruments that equity investors and fixed income bond investors can set foot in. Therefore, China's convertible bond market has developed very rapidly in recent years. It can promote the pricing and application of convertible bonds according to the situation of our country. There are two kinds of research on convertible bond pricing at home and abroad: the structured method with company assets as the target and the reduction method with the company stock price as the target. In view of the characteristics of the Chinese market, the value of corporate assets and stock prices are not very relevant in many cases, but the convertible bonds are closely related to the two. Therefore, we refer to the relevant literature practice. Taking these two factors as the factors affecting the price of convertible bonds, this paper studies the pricing of convertible bonds by using utility nondifferential pricing framework. In this paper, according to the actual situation of convertible bonds. Considering convertible bonds with a return clause, the value of the company's assets and the price of the shares are taken as the factors affecting the price of the convertible bonds. The utility nondifferential pricing method is used to establish the corresponding mathematical model for the pricing of this convertible bond, and a class of mixed problems of non-homogeneous partial differential equations is obtained. By using the method of separating variables of partial differential equations, the explicit solution of the series form of utility nondifferential pricing of convertible bonds is given. This explicit solution has the characteristics of convenient calculation and rapid convergence. The influence of risk aversion coefficient, correlation coefficient of company value and stock price on convertible bond is analyzed.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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