本文選題：最小二乘蒙特卡洛　切入點(diǎn)：LSM　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：可轉(zhuǎn)債是一種復(fù)雜的金融衍生產(chǎn)品,含有多種內(nèi)嵌期權(quán),是典型的路徑依賴型證券。隨著我國可轉(zhuǎn)債市場不斷發(fā)展,對可轉(zhuǎn)債進(jìn)行合理定價的研究將會給發(fā)行公司和投資者分析可轉(zhuǎn)債的價值提供依據(jù)。本文采用LSM模型,綜合考慮轉(zhuǎn)股價格向下修正條款、有條件的贖回及回售條款,對可轉(zhuǎn)債定價進(jìn)行了理論分析及實(shí)證研究,并對LSM模型進(jìn)行了適當(dāng)?shù)母倪M(jìn),以期獲得預(yù)測可轉(zhuǎn)債價格的效果。 本文首先對國內(nèi)外的可轉(zhuǎn)債定價理論和模型進(jìn)行了細(xì)致的梳理,并介紹了和LSM模型相關(guān)的理論發(fā)展。然后介紹了可轉(zhuǎn)債的基本概念和中國的可轉(zhuǎn)債市場,在此基礎(chǔ)上用LSM模型對我國的可轉(zhuǎn)債進(jìn)行了定價分析,并研究了波動率和信用風(fēng)險對LSM模型的適用性。而后針對無風(fēng)險利率和波動率兩個要素對LSM模型進(jìn)行了改進(jìn),并研究了它們對于可轉(zhuǎn)債價格的敏感性。最后通過實(shí)證得到了LSM的近似模型——線性回歸模型。 本文的理論意義在于找出適合中國可轉(zhuǎn)債市場的定價模型,而實(shí)際和現(xiàn)實(shí)意義在于通過這樣的模型對未來的可轉(zhuǎn)債價格進(jìn)行預(yù)測,進(jìn)而獲得正確的投資決策。
[Abstract]:The convertible bond is a kind of complex financial derivatives, containing a variety of embedded options, is a typical path dependent securities. As China's convertible bond market development, will study the reasonable pricing of convertible bonds to the issuer and investors to analyze the value of convertible bond is provided. This paper uses LSM model, considering the conversion price the downward revision clause, conditional redemption and resale pricing of convertible bonds for the theoretical analysis and empirical research, and the LSM model was improved to predict the price of convertible bonds in order to obtain the results.
Based on the domestic and foreign convertible bond pricing theory and models for a detailed analysis, and introduces the development of the theory and the LSM model. Then it introduces the basic concepts of convertible bonds and China convertible bonds market, based on the LSM model for pricing analysis of Chinese convertible bonds, and study the applicability of the volatility and credit risk of the LSM model. Then the risk-free interest rate and volatility of two elements of the LSM model was improved, and to study their sensitivity to the price of convertible bonds. Finally, through the empirical model to obtain the approximate LSM linear regression model.
The theoretical significance of this paper is to find out a pricing model suitable for China's convertible bond market, and the practical and practical significance is to predict the future convertible bond price through such a model, so as to get the correct investment decision.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

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本文編號：1678823