本文選題：可轉(zhuǎn)換債券　切入點(diǎn)：定價(jià)　出處：《西安電子科技大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：可轉(zhuǎn)換債券是一種兼具債券性與股權(quán)性的新型金融衍生產(chǎn)品,目前已經(jīng)成為資本市場(chǎng)上一種重要的投資工具。中國(guó)可轉(zhuǎn)換債券市場(chǎng)自1991年起步以來(lái),已發(fā)展近20年,成為證券市場(chǎng)的重要組成部分。正確評(píng)估可轉(zhuǎn)換債券的價(jià)值無(wú)論對(duì)投資者還是發(fā)行人以及整個(gè)可轉(zhuǎn)換債券市場(chǎng)均具有十分重要的意義。本文綜合運(yùn)用了金融研究方法如金融建模,偏微分方程以及二項(xiàng)式等方法對(duì)可轉(zhuǎn)換債券的定價(jià)進(jìn)行了理論和實(shí)證的研究。 首先,在分析我國(guó)當(dāng)前可轉(zhuǎn)換債券特性的基礎(chǔ)上對(duì)可轉(zhuǎn)換債券進(jìn)行了價(jià)值分析,闡述了可轉(zhuǎn)換債券的要素和特征,并對(duì)可轉(zhuǎn)換債券的價(jià)值以及影響因素進(jìn)行了分析,認(rèn)為可轉(zhuǎn)換債券價(jià)值的難點(diǎn)在于確定可轉(zhuǎn)換債券包含的期權(quán)價(jià)值。詳細(xì)介紹了布萊克-斯科爾斯模型以及二叉樹(shù)模型等期權(quán)定價(jià)方法。 其次,對(duì)可轉(zhuǎn)換債券的定價(jià)模型進(jìn)行了詳細(xì)的介紹。文中主要介紹了四種定價(jià)模型：布萊克-斯科爾斯模型,二叉樹(shù)模型,蒙特卡洛方法以及有限差分模型。并且對(duì)其各自的優(yōu)缺點(diǎn)進(jìn)行了比較分析,最后選定了布萊克-斯科爾斯模型以及二叉樹(shù)模型進(jìn)行本文的實(shí)證分析。 最后,本文選取金鷹轉(zhuǎn)債以及唐鋼轉(zhuǎn)債為代表的可轉(zhuǎn)換債券對(duì)我國(guó)可轉(zhuǎn)換債券市場(chǎng)進(jìn)行了實(shí)證研究。實(shí)證研究中采用可轉(zhuǎn)換債券進(jìn)入轉(zhuǎn)股期后的90個(gè)交易日作為可轉(zhuǎn)換債券的樣本區(qū)間,利用excel軟件分別采用布萊克-斯科爾斯模型以及二叉樹(shù)模型進(jìn)行定價(jià)獲得理論價(jià)值,并將兩種模型得到的理論價(jià)值與市場(chǎng)價(jià)值相對(duì)比,分析其偏差的原因。通過(guò)兩種模型理論價(jià)值與市場(chǎng)價(jià)值之間的偏差,發(fā)現(xiàn)二叉樹(shù)模型更適合于現(xiàn)階段我國(guó)可轉(zhuǎn)換債券的定價(jià)。本章結(jié)尾從可轉(zhuǎn)換債券市場(chǎng)的完善,可轉(zhuǎn)換債券條款設(shè)計(jì)以及定價(jià)模型選擇與完善等方面對(duì)我國(guó)可轉(zhuǎn)換債券定價(jià)提出了對(duì)策與建議。
[Abstract]:Convertible bond is a new type of financial derivative with both bond and equity properties. It has become an important investment tool in the capital market. Since 1991, the convertible bond market in China has developed for nearly 20 years. It is very important for investors, issuers and the whole convertible bond market to evaluate the value of convertible bonds correctly. Methods such as financial modeling, Partial differential equations and binomial methods are used to study the pricing of convertible bonds. First of all, on the basis of analyzing the characteristics of convertible bonds in China, this paper analyzes the value of convertible bonds, expounds the elements and characteristics of convertible bonds, and analyzes the value and influence factors of convertible bonds. It is considered that the difficulty of the value of convertible bonds is to determine the option value of convertible bonds, and the Black-Scholes model and the binomial tree model are introduced in detail. Secondly, the pricing model of convertible bonds is introduced in detail. In this paper, four pricing models are introduced: Black-Scholes model, binary tree model, The Monte Carlo method and the finite difference model are compared and analyzed. Finally, the Black-Scholes model and the binary tree model are selected for empirical analysis. Finally, In this paper, we choose the convertible bonds of Jinying and Tangshan Iron and Steel Co as the representatives of the convertible bond market in China. In the empirical study, 90 trading days after convertible bonds are used as convertibility. Sample range of bonds, The theoretical value is obtained by using the Black-Scholes model and the binary tree model by using excel software, and the theoretical value of the two models is compared with the market value. Through the deviation between the theoretical value and the market value of the two models, it is found that the binomial tree model is more suitable for the pricing of convertible bonds in China at the present stage. The design of convertible bond terms and the selection and improvement of pricing model are put forward for the pricing of convertible bonds in China.
【學(xué)位授予單位】：西安電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1581981