带重置条款的可转换债券定价研究

发布时间：2018-06-28 04:56

本文选题：可转换债券 + 重置条款　；参考：《苏州大学》2013年硕士论文

【摘要】：中国可转换债券的发展起步于20世纪90年代初,截至2010年,可转换债券成为我国固定收益类证券收益最高的品种之一。此时,在深、沪两地交易所挂牌交易的可转债品种增加到了21只,上市发行的可转债市场融资规模愈1400亿元人民币。由于可转债进入我国金融市场的时间相对较短,相比国外,国内可转债定价方面目前还没有形成比较成熟的做法。中国可转债的条款设计上与国外有着许多不同之处,不能照搬国外的做法,因此对可转债设计特殊条款(比如重置条款)的相关定价研究显得尤为重要。本文首先介绍了可转换债券的基本概念和条款以及其在国内外的发展历史,在约化法(Reduced-Form Approach)的框架下,考虑转股价向下修正条款。针对连续一定时间股价一直低于定值时,约定要对转股价向下调整这一向下调整条款,我们建立了相应的可转债偏微分方程问题定价模型,并用MATLAB软件分别通过蒙特卡洛法、特征线差分法对定价模型进行数值计算。最后选择国电电力转债进行实证研究,实证表明,我们用偏微分方程模型特征线差分法算得的理论价格与实际市场价格较为接近,也符合可转债价格与股票价格的相关性,对于市场价格和模型价格之间产生的差异,我们也分析其中的原因。
[Abstract]:The development of convertible bonds in China started in the early 1990s. Up to 2010, convertible bonds have become one of the highest returns of fixed income securities in China. At this time, in Shenzhen, the Shanghai and Shanghai exchanges listed the variety of convertible bonds increased to 21, listed convertible bond market financing scale of more than 140 billion yuan. Due to the relatively short time for convertible bonds to enter our financial market, domestic convertible bonds pricing has not yet formed a more mature practice compared with foreign countries. There are many differences in terms design between China and foreign countries, so it is very important to study the pricing of special terms of convertible bond design (such as replacement clause). This paper first introduces the basic concepts and terms of convertible bonds and their development history at home and abroad. Under the framework of Reduced-Form Approach, we consider the downward revision clause of convertible stock price. When the stock price has been below the fixed value for a continuous period of time, we set up the pricing model of the partial differential equation problem of convertible bonds, and use MATLAB software to pass Monte Carlo method respectively. The characteristic line difference method is used to calculate the pricing model. Finally, the empirical study shows that the theoretical price calculated by the differential method of characteristic line of partial differential equation model is close to the actual market price, and it also accords with the correlation between convertible bond price and stock price. We also analyze the reasons for the difference between market price and model price.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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