本文關(guān)鍵詞：中國市場可轉(zhuǎn)債定價研究　出處：《浙江大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)債定價 路徑依賴觸發(fā)條件 波動率 GARCH模型 約化模型 短期利率模型

【摘要】：可轉(zhuǎn)債是一種融合了股票和債券特征的復(fù)雜金融衍生品,發(fā)行人通過不同條款的組合來適應(yīng)自身的融資需求,同時為投資者提供具有差別化的產(chǎn)品。這種高度的靈活性在豐富資本市場的同時,也給合理定價提出了更大的挑戰(zhàn)。 目前,還沒有一個統(tǒng)一的定價模型能夠完整地包含所有可能的條款假設(shè)。因此,在具體的定價實(shí)踐中,我們需要細(xì)致地審定目標(biāo)轉(zhuǎn)債的市場特征,對涉及條款作出必要的取舍,突出具有結(jié)果顯著性的產(chǎn)品結(jié)構(gòu),并在此基礎(chǔ)上選擇合理的模型假設(shè)。 本文基于這樣的思路對中國市場上的可轉(zhuǎn)債定價進(jìn)行研究。 我們認(rèn)為,我國可轉(zhuǎn)債條款最重要的特征是贖回、回售具有一定的強(qiáng)制性,且贖回、回售觸發(fā)條件具有路徑依賴性。由第一個特征,本文將可轉(zhuǎn)債定價問題從一個投資者、發(fā)行人的雙人博弈過程轉(zhuǎn)化為投資者在發(fā)行人策略確定情況下的最優(yōu)決策問題；而第二個特征是本文與國內(nèi)其他可轉(zhuǎn)債定價文章在模型假設(shè)上的主要區(qū)別,我們通過具體的實(shí)證數(shù)據(jù)表明,忽略贖回、回售觸發(fā)條件的路徑依賴性會使理論結(jié)果顯著偏低。 在模型實(shí)現(xiàn)方面,本文采用的方法更偏向于我國金融市場的實(shí)際情況。 鑒于國內(nèi)市場上沒有可參考的隱含波動率數(shù)據(jù),本文對實(shí)際測度下的波動率過程利用GARCH方法建模,并通過風(fēng)險的市場價格參數(shù)將其與風(fēng)險中性測度下的股票價格動態(tài)過程關(guān)聯(lián)起來,從而使得條件波動率的估計值變?yōu)橐粋�由風(fēng)險中性測度下的布朗運(yùn)動驅(qū)動的適應(yīng)過程。區(qū)別于國內(nèi)其他可轉(zhuǎn)債定價文章將波動率看成是固定常數(shù)的做法,本文的建模方式能夠更好地體現(xiàn)波動率集聚的特征,并反映市場近期的價格特征。 本文利用約化模型方法對可轉(zhuǎn)債的信用風(fēng)險進(jìn)行建模,考慮到我國信用衍生品市場的發(fā)展現(xiàn)狀,我們通過同級企業(yè)債到期收益曲線與國債到期收益率曲線剝離出可違約零息債,從而確定違約強(qiáng)度的估計值。通過適當(dāng)簡化的約化模型方法,本文將帶違約風(fēng)險的可轉(zhuǎn)債模型與無違約風(fēng)險的可轉(zhuǎn)債模型很好地統(tǒng)一在一個定價框架中。 本文還考慮了當(dāng)無風(fēng)險利率隨機(jī)時對定價結(jié)果的影響。我們利用Ait-Sahalia(1996)提出的非參數(shù)化方法對CIR模型的參數(shù)進(jìn)行估計,并比較在不同初始股價以及不同股價、利率相關(guān)系數(shù)下,利率隨機(jī)化對定價的影響,數(shù)據(jù)結(jié)果顯示,在我國的金融市場環(huán)境下,這種影響并不顯著。 最后,我們對國內(nèi)一小部分流動性較好的可轉(zhuǎn)債進(jìn)行了定價效果檢驗,結(jié)果表明當(dāng)股票價格在轉(zhuǎn)股價附近變動時,模型理論價值與市場價格有很高的擬合度。
[Abstract]:Convertible bond is a kind of complex financial derivatives which combines the characteristics of stocks and bonds. Issuers adapt to their own financing needs through the combination of different terms. This high flexibility not only enriches capital markets but also poses greater challenges to reasonable pricing. At present, there is not a unified pricing model that can fully include all possible clause assumptions. Therefore, in the specific pricing practice, we need to carefully examine the market characteristics of target debt conversion. To make the necessary choice of the terms involved, highlight the product structure with significant results, and on the basis of this, select reasonable model assumptions. Based on this idea, this paper studies the pricing of convertible bonds in Chinese market. We believe that the most important feature of the terms of convertible bonds in China is redemption, and the repurchase is mandatory, and the trigger conditions of redemption and resale are path-dependent. In this paper, the pricing problem of convertible bonds is transformed from the two-game process of an investor and issuer to the optimal decision of the investor under the condition of the decision of the issuer's strategy. The second feature is the main differences between this paper and other domestic convertible bond pricing articles in the model hypothesis, we show through the specific empirical data, ignore redemption. The path-dependence of the trigger condition makes the theoretical results significantly lower. In the realization of the model, the method adopted in this paper is more inclined to the actual situation of our financial market. In view of the fact that there is no implied volatility data for reference in the domestic market, this paper uses GARCH method to model the volatility process under the actual measurement. And through the risk of the market price parameters will be linked to the risk neutral measure of the stock price dynamic process. Therefore, the estimate of conditional volatility becomes an adaptive process driven by Brownian motion under risk-neutral measure. Different from other domestic convertible bond pricing articles, volatility is regarded as a fixed constant. The modeling method of this paper can better reflect the characteristics of volatility agglomeration and the price characteristics of the market in the near future. In this paper, the credit risk of convertible bonds is modeled by reduction model, considering the development of credit derivatives market in China. Through the curve of maturity yield of enterprise bond and the curve of maturity yield of national debt, we can get the estimated value of defaultable zero interest debt by means of the curve of maturity yield of enterprise bonds of the same class, and then we can make sure the estimated value of default intensity. In this paper, the convertible bond model with default risk and the convertible bond model without default risk are well unified in a pricing framework. In this paper, we also consider the influence of risk-free interest rate on pricing results. We use the non-parametric method proposed by Ait-Sahalia 1996 to estimate the parameters of CIR model. The effects of interest rate randomization on pricing under different initial stock price and different stock price and interest rate correlation coefficient are compared. The results show that this effect is not significant in the financial market environment of our country. Finally, we test the pricing effect of a small number of domestic convertible bonds with good liquidity. The results show that the theoretical value of the model has a high fit with the market price when the stock price changes near the stock price.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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