【摘要】：可轉(zhuǎn)換債券（簡(jiǎn)稱可轉(zhuǎn)債）是指發(fā)行人依法發(fā)行，在一定期間內(nèi)，可按一定比例或價(jià)格轉(zhuǎn)換成一定數(shù)量的標(biāo)的證券的特殊公司證券。其具有優(yōu)良的融資與投資功能，這使得其成為目前發(fā)展最快的金融衍生品之一。在國(guó)內(nèi)已有的10余年可轉(zhuǎn)債定價(jià)研究中，常見(jiàn)的研究路徑忽略了國(guó)外模型假設(shè)條件與參數(shù)在中國(guó)并不適合，使得定價(jià)效率不高，立足我國(guó)實(shí)際開(kāi)發(fā)出適合我國(guó)可轉(zhuǎn)債市場(chǎng)的定價(jià)模型具有重要的理論與實(shí)際意義�？傮w而言，影響可轉(zhuǎn)債定價(jià)精確性的主要方面在于：定價(jià)模型的選擇或開(kāi)發(fā)；模型參數(shù)的估算；可轉(zhuǎn)債嵌入條款價(jià)值的數(shù)學(xué)表達(dá)問(wèn)題。為此，，本文完成了以下工作：（1）結(jié)合我國(guó)可轉(zhuǎn)債市場(chǎng)及已有模型定價(jià)效率,選擇具有更高定價(jià)效率的傳統(tǒng)三叉樹(shù)模型，針對(duì)該模型缺陷，推導(dǎo)出我國(guó)可轉(zhuǎn)債標(biāo)的股票對(duì)數(shù)價(jià)格運(yùn)動(dòng)規(guī)律的關(guān)系式，以此為基礎(chǔ)推導(dǎo)修正三叉樹(shù)模型；（2）推導(dǎo)出重要模型參數(shù)：標(biāo)的股票波動(dòng)率在我國(guó)的計(jì)算公式；（3）分析推導(dǎo)出我國(guó)可轉(zhuǎn)債嵌入條款價(jià)值數(shù)學(xué)表達(dá)式。以上也是本文的三個(gè)創(chuàng)新點(diǎn)，是本文提高可轉(zhuǎn)債模型定價(jià)效率的主要方向。利用以上三個(gè)結(jié)論，結(jié)合我國(guó)目前19支上市可轉(zhuǎn)債實(shí)際數(shù)據(jù)與MATLAB軟件，得到傳統(tǒng)三叉樹(shù)模型與修正三叉樹(shù)模型的定價(jià)效率�？梢钥吹絻烧叨季哂休^高定價(jià)效率，但修正三叉樹(shù)模型的定價(jià)效率更高。 本文具體內(nèi)容：闡明研究背景、研究意義；對(duì)國(guó)內(nèi)外研究進(jìn)行綜述；介紹本文章節(jié)組織結(jié)構(gòu)與研究思路。概述可轉(zhuǎn)債相關(guān)知識(shí)；發(fā)展歷史和現(xiàn)狀；可轉(zhuǎn)債常見(jiàn)條款介紹；可轉(zhuǎn)債定價(jià)特點(diǎn)分析等；簡(jiǎn)要介紹可轉(zhuǎn)債在我國(guó)的發(fā)展情況。介紹目前常用傳統(tǒng)定價(jià)模型，對(duì)比優(yōu)劣；分析在傳統(tǒng)定價(jià)模型中具有較高定價(jià)效率的傳統(tǒng)三叉樹(shù)模型，分析其定價(jià)相關(guān)因素：如結(jié)合我國(guó)實(shí)際數(shù)據(jù)推導(dǎo)出符合我國(guó)可轉(zhuǎn)債標(biāo)的股票波動(dòng)率的計(jì)算公式；對(duì)嵌入條款進(jìn)行了分析，得到嵌入條款價(jià)值的數(shù)學(xué)計(jì)算式；然后應(yīng)用到我國(guó)目前19支上市可轉(zhuǎn)債的定價(jià)中去，運(yùn)用MATLAB得出模型價(jià)格，對(duì)比實(shí)際價(jià)格，算出傳統(tǒng)三叉樹(shù)模型定價(jià)效率。針對(duì)傳統(tǒng)三叉樹(shù)模型先驗(yàn)設(shè)定標(biāo)的股票對(duì)數(shù)價(jià)格運(yùn)動(dòng)規(guī)律問(wèn)題，結(jié)合我國(guó)19支上市可轉(zhuǎn)債2011年中235個(gè)交易日的數(shù)據(jù)，推導(dǎo)出適合我國(guó)標(biāo)的股票對(duì)數(shù)價(jià)格運(yùn)動(dòng)規(guī)律的關(guān)系式；推導(dǎo)修正三叉樹(shù)模型，結(jié)合我國(guó)目前19支上市可轉(zhuǎn)債實(shí)際數(shù)據(jù)，運(yùn)用MATLAB進(jìn)行實(shí)證檢驗(yàn)，得出修正三叉樹(shù)模型定價(jià)效率。對(duì)比分析傳統(tǒng)三叉樹(shù)模型定價(jià)效率與修正三叉樹(shù)模型定價(jià)效率，模型價(jià)格與實(shí)際價(jià)格差距原因，得到更適合我國(guó)可轉(zhuǎn)債定價(jià)模型。最后綜合全文得出研究結(jié)論、提煉本文創(chuàng)新點(diǎn)，提出促進(jìn)我國(guó)可轉(zhuǎn)債定價(jià)模型方法的發(fā)展建議與指出本文研究不足之處。
[Abstract]:Convertible bonds (convertible bonds for short) refer to special company securities issued by issuers in accordance with the law and which can be converted to a certain number of underlying securities according to a certain proportion or price within a certain period. It has excellent financing and investment functions, which makes it one of the fastest growing financial derivatives. In the domestic research on convertible bond pricing for more than 10 years, the common research paths ignore that the assumptions and parameters of foreign models are not suitable in China, which makes the pricing efficiency low. It is of great theoretical and practical significance to develop a pricing model suitable for China's convertible bond market. In general, the main aspects that affect the pricing accuracy of convertible bonds lie in the selection or development of pricing models, the estimation of model parameters, and the mathematical expression of the value of embedded clauses of convertible bonds. Therefore, the following work has been done in this paper: (1) considering the pricing efficiency of China's convertible bond market and the existing models, we select the traditional triple tree model with higher pricing efficiency, and aim at the defects of the model. The relationship of the logarithmic price movement of the underlying stocks of convertible bonds in China is derived and the modified tritree model is derived. (2) the important model parameters are derived: the calculation formula of the volatility of the underlying stocks in China; (3) analyze and deduce the mathematical expression of the value of the embedded clause of convertible bonds in China. These are also the three innovations of this paper, which is the main direction to improve the pricing efficiency of convertible bond model. Based on the above three conclusions, combined with the actual data of 19 convertible bonds listed in China and MATLAB software, the pricing efficiency of the traditional triple tree model and the modified triple tree model is obtained. It can be seen that both of them have higher pricing efficiency, but the modified tritree model is more efficient. The main contents of this paper are as follows: clarify the background and significance of the research; summarize the domestic and foreign studies; introduce the organizational structure and research ideas of this section. This paper summarizes the related knowledge of convertible bonds; the history and present situation of development; introduces the common terms of convertible bonds; analyzes the pricing characteristics of convertible bonds; and briefly introduces the development of convertible bonds in China. This paper introduces the traditional pricing models, compares the advantages and disadvantages, and analyzes the traditional tri-tree models, which have high pricing efficiency in the traditional pricing models. This paper analyzes the factors related to the pricing: such as deducing the calculation formula of the stock volatility according to the actual data of our country, analyzing the embedded clause and obtaining the mathematical formula of the value of the embedded clause; Then it is applied to the pricing of 19 convertible bonds in our country at present. The model price is obtained by using MATLAB, and the pricing efficiency of the traditional triple tree model is calculated by comparing the actual price. Aiming at the law of logarithmic price movement of stocks with traditional tri-tree model, combined with the data of 235 trading days in 2011 of 19 listed convertible bonds in China, the relationship formula suitable for the logarithmic price movement of underlying stocks in China is derived. Based on the actual data of 19 convertible bonds listed in China, this paper deduces the modified tritree model and makes an empirical test by using MATLAB to obtain the pricing efficiency of the modified tritree model. By comparing and analyzing the pricing efficiency of traditional tritree model and modified tritree model, the difference between model price and actual price is analyzed, and a more suitable pricing model for convertible bonds in China is obtained. Finally, the conclusion is drawn, the innovation of this paper is abstracted, the suggestions to promote the pricing model of convertible bonds in China are put forward, and the deficiencies of this study are pointed out.
【學(xué)位授予單位】：北京物資學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 鄭振龍,林海;可轉(zhuǎn)換債券發(fā)行公司的最優(yōu)決策[J];財(cái)經(jīng)問(wèn)題研究;2004年11期

2 鄭振龍,康朝鋒;中國(guó)可轉(zhuǎn)債市場(chǎng)效率的隨機(jī)占優(yōu)檢驗(yàn)[J];當(dāng)代財(cái)經(jīng);2004年03期

3 鄭振龍,康朝鋒;可轉(zhuǎn)債投資對(duì)股票投資的絕對(duì)占優(yōu):中國(guó)可轉(zhuǎn)債市場(chǎng)效率的一個(gè)反例[J];當(dāng)代財(cái)經(jīng);2005年05期

4 秦學(xué)志,吳沖鋒;可贖回的可轉(zhuǎn)換債券的博弈定價(jià)方法[J];系統(tǒng)工程;2000年05期

5 王承煒,吳沖鋒;上市公司可轉(zhuǎn)換債券價(jià)值分析[J];系統(tǒng)工程;2001年04期

6 馬超群,唐耿;引入信用風(fēng)險(xiǎn)的可轉(zhuǎn)債定價(jià)模型及其實(shí)證研究[J];系統(tǒng)工程;2004年08期

7 孟衛(wèi)東;陳浩文;;引入信用風(fēng)險(xiǎn)的我國(guó)可轉(zhuǎn)換債券定價(jià)實(shí)證研究[J];系統(tǒng)工程;2008年10期

8 劉大巍;陳啟宏;張

本文編號(hào)：2183520