本文選題：可轉(zhuǎn)換公司債券　切入點(diǎn)：定價(jià)模型　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2013年碩士論文

【摘要】：近年來，我國(guó)可轉(zhuǎn)換公司債券市場(chǎng)發(fā)展迅速，目前已成為我國(guó)金融市場(chǎng)發(fā)展的重點(diǎn)。與此同時(shí)，可轉(zhuǎn)換公司債券的研究也越來越受證券公司、基金公司和上市公司等市場(chǎng)參與者的關(guān)注。 可轉(zhuǎn)換公司債券的價(jià)值研究既是可轉(zhuǎn)債研究的基礎(chǔ)，也是核心�？赊D(zhuǎn)換公司債券定價(jià)研究對(duì)其發(fā)行定價(jià)和投資實(shí)踐都有重要的實(shí)際指導(dǎo)意義。此外，可轉(zhuǎn)換公司債券本質(zhì)上屬于混合債券，兼具普通債券和嵌入式期權(quán)兩者的特性，是一種依賴于股票和利率等多種標(biāo)的、價(jià)值形態(tài)異常復(fù)雜、路徑依賴特征極強(qiáng)的復(fù)合美式衍生品，因此該類定價(jià)研究也有重要的理論意義。 首先，本文對(duì)可轉(zhuǎn)換公司債券進(jìn)行概述，從理論上分析和對(duì)比了各種定價(jià)方法，發(fā)現(xiàn)二叉樹定價(jià)法和LSM定價(jià)法具有較明顯的優(yōu)勢(shì)。在此基礎(chǔ)上，本文嘗試在利率期限結(jié)構(gòu)、信用風(fēng)險(xiǎn)、波動(dòng)率、轉(zhuǎn)股權(quán)、贖回權(quán)和回售權(quán)、路徑依賴等側(cè)面對(duì)二叉樹定價(jià)法和LSM定價(jià)法進(jìn)行了比較全面的改進(jìn)。本文還在MATLAB平臺(tái)上實(shí)現(xiàn)相關(guān)定價(jià)模型的程序化。 然后，本文針對(duì)我國(guó)滬深兩市的可轉(zhuǎn)換公司債券進(jìn)行了實(shí)證研究。研究表明：（1）LSM定價(jià)法優(yōu)于二叉樹定價(jià)法，更加適合我國(guó)當(dāng)前可轉(zhuǎn)換公司債券的定價(jià)；（2）LSM定價(jià)法追蹤的定價(jià)效果仍然較好，模型具有一定的穩(wěn)定性。在得出實(shí)證研究結(jié)果的同時(shí)，本文還提出了將LSM定價(jià)法應(yīng)用于實(shí)踐的兩點(diǎn)設(shè)想。 最后，，本文提出建議（1）根據(jù)我國(guó)市場(chǎng)的實(shí)際情況，應(yīng)盡可能多用LSM定價(jià)法對(duì)可轉(zhuǎn)換公司債券定價(jià)；（2）在實(shí)際運(yùn)用中應(yīng)更多地考慮到利率期限結(jié)構(gòu)、信用風(fēng)險(xiǎn)、波動(dòng)率、轉(zhuǎn)股權(quán)、贖回權(quán)和回售權(quán)、路徑依賴等問題；（3）在將LSM模型運(yùn)用于投資實(shí)踐時(shí)，應(yīng)當(dāng)考慮策略時(shí)滯等問題。
[Abstract]:In recent years, China's convertible bond market has developed rapidly, and has become the focus of the development of our financial market.At the same time, the research of convertible corporate bonds has been paid more and more attention by market participants such as securities companies, fund companies and listed companies.The research on the value of convertible bonds is not only the foundation but also the core of convertible bonds.The study of convertible bond pricing has important practical significance for its issuing pricing and investment practice.In addition, convertible corporate bonds are essentially mixed bonds, with the characteristics of both ordinary bonds and embedded options. They are highly dependent on stocks and interest rates, and their value forms are extremely complex.Path-dependent compound American derivatives have strong characteristics, so this kind of pricing research also has important theoretical significance.Firstly, this paper gives an overview of convertible corporate bonds, analyzes and compares various pricing methods theoretically, and finds that the binomial tree pricing method and the LSM pricing method have obvious advantages.On this basis, this paper attempts to improve the binomial tree pricing method and LSM pricing method in terms of term structure of interest rate, credit risk, volatility, equity conversion, redemption and resale right, path dependence and so on.This paper also realizes the programming of related pricing model on MATLAB platform.Then, this paper makes an empirical study on convertible corporate bonds in Shanghai and Shenzhen stock markets.The research shows that the pricing method is better than the binomial tree pricing method, and it is more suitable for the current pricing of convertible corporate bonds in China. The tracking effect of the LSM pricing method is still good, and the model has certain stability.At the same time, this paper puts forward two tentative ideas of applying LSM pricing method to practice.Finally, this paper puts forward some suggestions: according to the actual situation of our country's market, we should use LSM pricing method to price convertible corporate bonds as much as possible. In practical application, we should take more account of term structure of interest rate, credit risk, volatility and equity conversion.When applying the LSM model to the investment practice, the delay of strategy should be considered.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉大巍;陳啟宏;張

本文編號(hào)：1691706