本文選題：可分離交易可轉(zhuǎn)換債券　切入點：常彈性方差　出處：《天津大學(xué)》2013年碩士論文

【摘要】：1843年,全球首例可轉(zhuǎn)換債券在美國發(fā)行。歷經(jīng)160多年的發(fā)展與創(chuàng)新,世界可轉(zhuǎn)債市場已日趨成熟和繁榮。我國的可轉(zhuǎn)債市場從90年代初的試點階段逐步過渡到近幾年的較快發(fā)展階段,已經(jīng)得到越來越多投資者的認(rèn)可。2006年5月8日，《上市公司證券發(fā)行管理辦法》首次將可分離交易可轉(zhuǎn)債列為上市公司再融資品種,預(yù)示著可轉(zhuǎn)債市場更為廣闊的發(fā)展空間�？煞蛛x交易可轉(zhuǎn)債的定價問題已成為可轉(zhuǎn)債研究領(lǐng)域的一項重要研究內(nèi)容。 目前，國內(nèi)外對可分離交易可轉(zhuǎn)債的研究已經(jīng)取得了很大進(jìn)展，但這些研究大多是從定性的角度來考慮可分離交易可轉(zhuǎn)債與普通可轉(zhuǎn)債的區(qū)別以及可分離交易可轉(zhuǎn)債的融資問題。本文將從定量分析的角度給出可分離交易可轉(zhuǎn)債的價格公式。 本文首次將CEV模型引入可分離交易可轉(zhuǎn)債定價研究中，假設(shè)市場上僅存在兩種資產(chǎn)：風(fēng)險資產(chǎn)和無風(fēng)險資產(chǎn)。在風(fēng)險資產(chǎn)價格服從CEV模型的情況下，，利用Feller引理，結(jié)合可分離交易可轉(zhuǎn)債的模型，給出了可分離交易可轉(zhuǎn)債的價格公式。本文的另一個創(chuàng)新點在于巧妙地將非中心卡方分布方法應(yīng)用于期權(quán)定價中，使可分離交易可轉(zhuǎn)債的價格公式是非中心卡方分布的形式，得到了理想的解析解。最后對得到的價格公式進(jìn)行了分析，給出了其各部分的經(jīng)濟學(xué)意義。
[Abstract]:In 1843, the world's first convertible bond was issued in the United States.After 160 years of development and innovation, the world convertible bond market has become increasingly mature and prosperous.China's convertible bond market has gradually transitioned from the pilot stage in the early 1990s to the relatively rapid development stage in recent years.On May 8, 2006, the Management measures of Securities issuance of listed companies listed convertible bonds as the refinancing varieties of listed companies for the first time, indicating a broader development space for the convertible bond market.The pricing of convertible bonds has become an important research content in the field of convertible bonds.At present, great progress has been made in the research of separable tradeable convertible bonds at home and abroad.However, most of these studies consider the difference between convertible bonds and ordinary convertible bonds and the financing of convertible bonds.In this paper, the price formula of separable convertible bonds is given from the angle of quantitative analysis.In this paper, the CEV model is introduced into the pricing of convertible bonds for the first time. It is assumed that there are only two kinds of assets in the market: risky assets and risk-free assets.In the case of risk asset price service from CEV model, using Feller Lemma, combined with the model of separable tradeable convertible bonds, the price formula of separable tradeable convertible bonds is given.Another innovation of this paper is that the off-center chi-square distribution method is skillfully applied to the option pricing, so that the price formula of separable tradeable convertible bonds is the form of non-central chi-square distribution, and the ideal analytical solution is obtained.Finally, the price formula is analyzed, and the economic significance of each part is given.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 趙紅平;;中國上市公司普通可轉(zhuǎn)債和分離交易可轉(zhuǎn)債融資選擇[J];系統(tǒng)工程;2010年08期

2 許可;李昕;;“馬鋼”可分離轉(zhuǎn)債定價實證分析[J];管理學(xué)報;2007年06期

3 徐皓;梁東;萬偉;;國內(nèi)分離交易可轉(zhuǎn)債市場簡析[J];中國市場;2007年01期

4 張紹璞;;關(guān)于非中心χ~2分布性質(zhì)的研究[J];天津科技大學(xué)學(xué)報;2009年01期

5 吳云,何建敏;服從CEV的幾何亞式期權(quán)的定價研究[J];系統(tǒng)工程理論與實踐;2003年04期

6 朱丹;;隨機利率下可分離交易可轉(zhuǎn)換債券的鞅定價[J];應(yīng)用數(shù)學(xué)學(xué)報;2011年02期

7 化宏宇;程希駿;;分離交易可轉(zhuǎn)債研究[J];中國科學(xué)院研究生院學(xué)報;2008年04期

本文編號：1714637