基于扩展的LSM模型的可转换债券定价研究

发布时间：2018-03-22 09:11

本文选题：可转债定价　切入点：扩展的LSM模型　出处：《华东交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：近几年，我国一直倡导着力推进金融改革，2013年余额宝正式上线，民营银行获批等都非常清晰的表明，金融市场的完善已势在必行了。而目前我国国内市场上的可转债还是比较少，也属于供不应求的稀缺产品。然而，可转换债券本身所具有的选择性、股性和债券性以及其各种各样复杂纷繁的附带条款之间的相互作用，使得可转换债券本身的定价变得非常复杂。也正因为如此，关于可转换债券定价的相关研究一直是学术界讨论的难点、重点。本文首先介绍了可转换债券的基本定义，国内可转换债券的发展现状，可转换债券的基本要素和影响可转换债券的因素。然后，主要围绕目前可转债定价存在的问题进行了探讨和研究。在此基础上，研究可转债的赎回、回售条款，美式期权的特殊性质以及路径依赖，这四个因素对可转债定价的影响，采用扩展的最小二乘法蒙特卡罗模拟(LeastSquare Monte Carlo Simulation LSM)法，来对可转债进行定价，实证分析部分为了检验本文所使用的扩展的LSM模型的定价精确性，，给我国市场流通的18只可转债定价分析，同时对模型的有效性进行验证，比较不同模型的定价效率。这当中为了使计算结果更为精确使用GARCH（1,1）模型来对中海转债、博汇转债进行波动率的估计。最后本文的检验分析结果表明了我国现有所使用的可转债定价模型都会对可转债的价格存在不同程度的高估，而扩展的LSM模型对可转债的定价具有相对较高的准确度，且模型定价误差小于允许的5%的误差范围之内。可转债的合理定价无论对于发行人，投资者或者市场都有着重要的意义，尽管扩展的LSM模型可以相对高的模拟可转债的定价，但是与可转债的市场价格还是存在一定的差距，还需要不断的完善。
[Abstract]:In recent years, our country has been advocating to promote financial reform. In 2013, Yu'e Bao was officially launched, and the approval of private banks is very clear. It is imperative to improve the financial market. At present, there are relatively few convertible bonds in China's domestic market, and they are also scarce products in short supply. However, convertible bonds have their own selectivity. The interaction between the equity and the bond nature, and its various complex collateral, makes the pricing of convertible bonds very complicated, and that's why, The research on convertible bond pricing has been a difficult point in academic circles. This paper first introduces the basic definition of convertible bonds, the development of domestic convertible bonds, the basic elements of convertible bonds and the factors affecting convertible bonds. This paper mainly discusses and studies the problems existing in the pricing of convertible bonds. On this basis, the paper studies the redemption of convertible bonds, the terms of return, the special nature of American options and the path dependence, and the influence of these four factors on the pricing of convertible bonds. The extended least square Monte Carlo method is used to simulate the pricing of convertible bonds by Monte Carlo method. The empirical analysis is to test the pricing accuracy of the extended LSM model used in this paper. This paper analyzes the pricing of 18 convertible bonds in circulation in our country, validates the validity of the model and compares the pricing efficiency of different models. Finally, the test results of this paper show that the existing convertible bond pricing models used in China will be overvalued to varying degrees of the price of convertible bonds. The extended LSM model has relatively high accuracy in the pricing of convertible bonds, and the pricing error of the model is less than the permitted error of 5%. Investors or markets have important significance, although the extended LSM model can simulate the pricing of convertible bonds relatively high, but there is still a certain gap with the market price of convertible bonds, and still need to be improved.
【学位授予单位】：华东交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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