基于二叉树模型的可转债定价研究

发布时间：2018-02-14 15:21

本文关键词： 可转换债券二叉树模型定价　出处：《安徽农业大学》2013年硕士论文　论文类型：学位论文

【摘要】：可转换债券作为上市公司进行融资的一种金融工具在我国的发展已有二十余年的历史。由于其具有较低的发行门槛，在发行初期融资成本也低于债券，当上市公司财务杠杆过大又或是期初不想承担较大的利息现金流出，，同时公司本身的财务状况、盈利水平和资本结构等并不符合增发股票所要求的相关限制条件时，选择可转债上市融资就成为了该类公司一条理想的融资迂回之道。能否对可转债价值进行准确评估不仅对于发行公司，对于投资者也具有重要的意义。本文列举了目前几种常见的可转债期权价值定价模型，对各个模型的优缺点进行比较，并在分析了各模型同我国证券市场相适应的程度之后，选择二叉树模型对我国目前正在市面上流通的所有可转债进行定价研究。本文首先对于可转债价值构成进行分析，之后阐述可转债的定价模型，对于可转债价值中最重要的期权价值部分目前的几种定价方法进行介绍。接着从我国可转债市场的实际情况出发，选取目前在市场上流通的所有的可转债作为样本，收集了每一只可转债从发行初始到2012年3月20号这段时间的收盘价数据，运用二叉树模型进行可转债定价分析。运用matlab软件对模型进行编程，而相关参数指标用excel相应函数计算。最后用得出的研究结果进行比较分析，对分析结果进行总结以及给出相应建议。
[Abstract]:Convertible bonds, as a kind of financial instrument for financing of listed companies, have been developing for more than 20 years in China. Because of their low threshold of issuance, the financing cost of convertible bonds at the beginning of issuance is also lower than that of bonds. When the financial leverage of a listed company is too large or the company does not want to take on a large amount of interest cash outflow at the beginning of the period, and when the company's own financial situation, profit level and capital structure do not meet the relevant restrictions required for the issuance of additional shares, The choice of convertible bonds listed financing has become an ideal financing circuitous way for such companies. Whether the value of convertible bonds can be accurately evaluated is of great significance not only to the issuing company but also to investors. This paper enumerates several common pricing models of convertible bond options and compares the advantages and disadvantages of each model. After analyzing the degree of adaptation of each model to China's securities market, the binomial tree model is selected to study the pricing of all convertible bonds in circulation in our country at present. This paper first analyzes the value composition of convertible bonds, and then expounds the pricing model of convertible bonds. This paper introduces several pricing methods of the most important option value in the value of convertible bonds. Then, starting from the actual situation of China's convertible bond market, we select all the convertible bonds in circulation in the market as samples. This paper collects the closing price data of each convertible bond from the beginning of issuance to March 20th 2012, and uses the binary tree model to analyze the pricing of convertible bonds. Matlab software is used to program the model. The relative parameters are calculated by the corresponding function of excel. Finally, the research results obtained are compared and analyzed, and the analysis results are summarized and the corresponding suggestions are given.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】