或有可转换债券的定价与数值分析

发布时间：2018-11-05 12:05

【摘要】：或有可转换债券是2008年金融危机后提出的一种金融衍生产品，由于它对金融危机的恶化能够起到相应的遏制作用，因此，其概念一经提出，就受到了国际社会的广泛关注和讨论，并且受到了很多监管机构的推崇。但是由于其发展时间较短，市场参与者对其条款和价值的分析都还不够深入，相关的理论研究更是处于起步阶段。在此背景下，本文拟对或有可转换债券的理论定价模型做一番探讨，希望对于尚处于发展初期的或有可转换债券及金融产品的创新具有一定的借鉴意义。本文首先回顾了或有可转换债券国内外的研究情况。随后，在介绍完或有可转换债券的相关性质后，我们对其价值进行了分析，将其价值分解成普通债券价值和美式看跌期权价值之差。通过现金流的贴现，计算出普通债券部分的价值。至于期权部分的价值，则运用二叉树、二次方程近似法、二次方程近似法的改进这三种方法分别计算出美式期权部分的价值并进行比较，选取一种最合适的方法计算出期权部分的价值。然后再确定整个或有可转换债券的价值。接着，我们利用上一章得到的模型对或有可转换债券进行数值计算分析。以证券市场上的招商银行为设计中的发行者，根据证券市场情况得到相应的变量，然后根据文中的模型计算出或有可转换债券的价值。最后是文章的小结，是对本文内容的总结和对未来研究方向的展望。本文的创新之处在于在美式期权价值的计算方面，我们采用了传统的二叉树方法。除此之外，还尝试了比较少见的二次方程近似方法--BAW方法，但是BAW方法有着固定的缺陷，，为此，我们在BAW基础上，通过一些参数的改进，得到了BAW方法的改进。我们将这三种方法进行matlab的编程，并进行比较，得到了适合的方法来得到美式期权的价值。同时，在估计股票收益的波动率方面，本文在传统的历史数据估计法的基础上，采用GARCH模型利用极大似然估计法对波动率模型进行了修正，并将其运用到或有可转换债券的定价中。
[Abstract]:Contingent convertible bonds are a kind of financial derivatives proposed after the financial crisis in 2008. Since they can play a corresponding role in containing the deterioration of the financial crisis, the concept of contingent convertible bonds has been put forward once it has been put forward. It has been widely concerned and discussed by the international community, and praised by many regulators. However, due to its short development time, market participants to its terms and value analysis is not deep enough, the relevant theoretical research is in its infancy. In this context, this paper intends to make a discussion on the theoretical pricing model of contingent convertible bonds, hoping that it will be useful for the innovation of convertible bonds and financial products which are still in the early stage of development. This paper first reviews the domestic and foreign research situation of contingent convertible bonds. Then, after introducing the related properties of contingent convertible bonds, we analyze its value and decompose its value into the difference between the value of ordinary bonds and the value of American put options. The value of the ordinary bond is calculated by discounting the cash flow. As for the value of the option part, the value of the American option part is calculated and compared by using the binary tree and the improved quadratic equation approximation method. Select the most appropriate method to calculate the value of the option part. Then determine the value of the entire contingent convertible bond. Then, we use the model obtained in the previous chapter to calculate and analyze the contingent convertible bonds. Taking China Merchants Bank in the securities market as the issuer in the design, the corresponding variables are obtained according to the situation of the securities market, and then the value of contingent convertible bonds is calculated according to the model in this paper. Finally, the summary of the article is the summary of the content of this paper and the prospect of the future research direction. The innovation of this paper is that we adopt the traditional binary tree method to calculate the value of American option. In addition, a rare quadratic equation approximation method, the BAW method, is also tried, but the BAW method has some fixed defects. Therefore, on the basis of BAW, we get the improvement of the BAW method by improving some parameters. We compare these three methods with matlab, and get the appropriate method to get the value of American option. At the same time, in estimating the volatility of stock returns, based on the traditional historical data estimation method, the GARCH model is used to modify the volatility model by using the maximum likelihood estimation method. And apply it to the pricing of contingent convertible bonds.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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