本文選題：可轉債定價　切入點：仿射交易成本　出處：《西南財經(jīng)大學》2013年碩士論文

【摘要】：可轉換債券(Convertible bond, CB,簡稱“可轉債”)是一種具有債券和股票雙重特征的復合融資工具。對可轉債的發(fā)行公司而言,其利率一般比普通債券低,這樣就能降低公司的籌資成本。對可轉債的投資者來說,這種債券既能在保證獲得基本的債券利息基礎上,又能獲得股價上漲而實施轉股所得的潛在資本利得收益。因此,近年來我國的可轉債市場發(fā)展比較迅速。然而,可轉債也像期權那樣是舶來品,在國內的發(fā)展只有近二十年的歷史,所以我國的可轉債定價研究相對薄弱。 針對我國可轉債市場的發(fā)展狀況,本文借鑒了前人研究的等比例交易成本可轉債定價模型,結合實際可轉債轉股后的交易中確實存在最低交易成本的情況,因而本文用仿射交易成本去替代原模型的等比例交易成本。改進后的模型雖然在推導的過程中難度增加了,但是更能接近可轉債轉股后的實際交易成本,從而使其定價更加準確。此外,為了驗證本文改進后模型的效果,本文選取了萬科轉債做了實證研究。比較了其對應的股票萬科A在原模型和本文模型中計算出來的傭金交易成本,結果顯示本文模型算出來的傭金交易成本與真實的傭金交易成本誤差較小,而原模型算出來的傭金交易成本與真實的傭金交易成本誤差較大。在實證結果的基礎上,本文提出了一些改進最低傭金交易成本的建議。 本文由五個部分組成,第一部分回顧了國內外可轉債定價理論的發(fā)展進程和研究成果。第二部分和第三部分介紹了可轉債的基本概念和可轉債定價常用的一些研究方法。第四部分在伊藤引理,無套利定價理論(APT)和期權定價理論(0PT)的基礎上推導出了本文的仿射交易成本可轉債定價模型。第五部分對比分析了原模型與本文模型計算出來的傭金交易成本與實際的傭金交易成本的誤差率和誤差額大小。
[Abstract]:Convertible bond (CBs) is a compound financing tool with the characteristics of bond and stock.For convertible bond issuers, the interest rate is generally lower than ordinary bonds, thus reducing the company's funding costs.For convertible bond investors, this bond can not only guarantee the basic bond interest, but also gain the potential capital gains from the stock price rise.Therefore, China's convertible bond market has developed rapidly in recent years.However, convertible bonds, like options, are imported and developed in China for only 20 years, so the pricing research of convertible bonds in China is relatively weak.In view of the development of the convertible bond market in China, this paper draws lessons from the pricing model of equal-proportion transaction cost convertible bond, and combines with the situation that the minimum transaction cost does exist in the transaction after the actual convertible bond is converted into stock.Therefore, the affine transaction cost is used to replace the equal-proportional transaction cost of the original model.The improved model is more difficult to deduce, but it is more close to the actual transaction cost of convertible bond to equity, which makes the pricing more accurate.In addition, in order to verify the effect of the improved model, this paper selects Vanke debt to do empirical research.This paper compares the commission transaction cost calculated by the corresponding stock Vanke A in the original model and the model in this paper. The results show that the error between the real commission transaction cost and the real commission transaction cost calculated by this model is small.But the original model calculates the commission transaction cost and the real commission transaction cost error is big.Based on the empirical results, this paper puts forward some suggestions to improve the minimum commission transaction cost.This paper consists of five parts. The first part reviews the development process and research results of convertible bond pricing theory at home and abroad.The second part and the third part introduce the basic concept of convertible bond and some common research methods of convertible bond pricing.In the fourth part, the pricing model of affine transaction cost convertible bonds is derived on the basis of Ito Lemma, APT and option pricing theory.In the fifth part, the error rate and margin of error between the original model and this model are compared with the actual commission transaction cost.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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本文編號：1716359