【摘要】：隨著我國(guó)經(jīng)濟(jì)的快速發(fā)展，以及全球金融一體化進(jìn)程的加快，我國(guó)債券市場(chǎng)經(jīng)歷了從無(wú)到有，從單一的國(guó)債到金融債券和公司債券的快速發(fā)展過(guò)程，其品種越來(lái)越豐富，，市場(chǎng)規(guī)模也越來(lái)越大。 可轉(zhuǎn)換債券是一種公司債券，因其所具有的期權(quán)性而被廣大投資者青睞，也因此成為了企業(yè)融資的重要渠道之一。那么如何對(duì)其進(jìn)行合理的定價(jià)便成為了理論界與實(shí)踐界所研究的焦點(diǎn)�？赊D(zhuǎn)換債券是一種同時(shí)涉及債券、股票和期權(quán)的復(fù)合衍生證券，所以在對(duì)其進(jìn)行定價(jià)時(shí)，必須要同時(shí)考慮到它的債權(quán)性和期權(quán)性。目前學(xué)者們對(duì)于可轉(zhuǎn)換債券如何定價(jià)的問(wèn)題已經(jīng)進(jìn)行了大量的研究�？偨Y(jié)這些研究我們發(fā)現(xiàn)將可轉(zhuǎn)債分成債券與期權(quán)兩個(gè)相互獨(dú)立的部分是目前業(yè)界比較普遍的一種方法。因?yàn)閭糠质枪潭ǖ�，所以如何�?duì)其期權(quán)部分進(jìn)行合理的定價(jià)便成了該問(wèn)題的核心。 目前大多數(shù)學(xué)者幾乎都是在假設(shè)波動(dòng)率為常數(shù)的前提下對(duì)滿足B-S公式的期權(quán)進(jìn)行定價(jià)求解。事實(shí)上，因?yàn)闃?biāo)的資產(chǎn)價(jià)格本身是隨機(jī)波動(dòng)的，所以用來(lái)反映標(biāo)的資產(chǎn)價(jià)格變化程度的波動(dòng)率也應(yīng)該是隨機(jī)的。那么將波動(dòng)率的隨機(jī)性考慮到標(biāo)的資產(chǎn)期權(quán)的定價(jià)之中勢(shì)必會(huì)與現(xiàn)實(shí)更加的接近。本文正是基于這個(gè)思想，試圖通過(guò)建立波動(dòng)率為隨機(jī)條件下的期權(quán)定價(jià)模型來(lái)對(duì)可轉(zhuǎn)換債券進(jìn)行更好地定價(jià)。為此，本文主要做了以下研究工作： 在第一章中，介紹關(guān)于可轉(zhuǎn)換公司債券定價(jià)模型的國(guó)內(nèi)外研究現(xiàn)狀，總結(jié)了目前關(guān)于可轉(zhuǎn)換公司債券定價(jià)模型的普遍方法。 在第二章中，介紹波動(dòng)率的相關(guān)知識(shí)，闡述了被廣泛應(yīng)用于金融領(lǐng)域內(nèi)的Hull-White、Stein-Stein、Heston三種常見的隨機(jī)波動(dòng)率模型。并在Hull-White模型的基礎(chǔ)上,建立了受外界干擾因子影響的隨機(jī)波動(dòng)率模型，并求得了該隨機(jī)波動(dòng)率方程的解析解。 在第三章中，在隨機(jī)波動(dòng)率條件下，對(duì)可轉(zhuǎn)債中的期權(quán)部分進(jìn)行了定價(jià)研究。建立了波動(dòng)率為隨機(jī)條件下的標(biāo)的資產(chǎn)價(jià)格所滿足的隨機(jī)微分方程組，運(yùn)用對(duì)沖技巧推出了該條件下期權(quán)所滿足的偏微分方程。再結(jié)合可轉(zhuǎn)債純債券部分價(jià)值最終得到隨機(jī)波動(dòng)率條件下可轉(zhuǎn)債的定價(jià)模型。 在第四章中，在沒有得出期權(quán)定價(jià)解析解的情況下，通過(guò)蒙特卡羅路徑模擬方法，對(duì)隨機(jī)波動(dòng)率條件下的期權(quán)定價(jià)進(jìn)行了數(shù)值模擬。并探討外界干擾因子對(duì)波動(dòng)率、標(biāo)的資產(chǎn)價(jià)格和對(duì)期權(quán)價(jià)格的影響，結(jié)果發(fā)現(xiàn)干擾因子越大，所對(duì)應(yīng)的波動(dòng)率、標(biāo)的資產(chǎn)價(jià)格以及期權(quán)價(jià)值的波動(dòng)也會(huì)越大。 在第五章中，以中石化轉(zhuǎn)債為例，將上述可轉(zhuǎn)債的定價(jià)模型應(yīng)用于當(dāng)前我國(guó)可轉(zhuǎn)債市場(chǎng)之中，說(shuō)明該定價(jià)模型在實(shí)際中的應(yīng)用情況。
[Abstract]:With the rapid development of China's economy and the acceleration of the process of global financial integration, the bond market of our country has experienced a rapid development from scratch, from a single national debt to financial bonds and corporate bonds. The market is also getting bigger and bigger. Convertible bond is a kind of corporate bond, which is favored by the majority of investors because of its option nature. Therefore, it has become one of the important channels of enterprise financing. So how to make reasonable pricing has become the focus of theoretical and practical research. Convertible bond is a kind of compound derivative securities involving bonds, stocks and options simultaneously. Therefore, when pricing convertible bonds, the creditor's rights and options must be taken into account simultaneously. At present, scholars have done a lot of research on how to price convertible bonds. Summing up these studies, we find that it is a common method to divide convertible bonds into two independent parts: bond and option. Because the bond part is fixed, how to price the option part reasonably becomes the core of the problem. At present, most scholars are almost on the assumption that volatility is constant on the basis of B-S formula option pricing solution. In fact, because the underlying asset price itself is random, the volatility used to reflect the degree of change in the underlying asset price should also be random. The randomness of volatility in the pricing of underlying asset options is bound to be closer to reality. Based on this idea, this paper attempts to establish an option pricing model under stochastic volatility to better price convertible bonds. For this reason, this paper mainly does the following research work: in the first chapter, introduces the domestic and foreign research status of convertible corporate bond pricing model, summarizes the current general methods of convertible corporate bond pricing model. In the second chapter, the knowledge of volatility is introduced, and three common stochastic volatility models of Hull-White,Stein-Stein,Heston, which are widely used in the field of finance, are expounded. On the basis of Hull-White model, the stochastic volatility model affected by external disturbance factors is established, and the analytical solution of the stochastic volatility equation is obtained. In the third chapter, under the condition of random volatility, the pricing of options in convertible bonds is studied. In this paper, the stochastic differential equations of the underlying asset price under the stochastic condition of volatility are established, and the partial differential equations of the options under these conditions are derived by using the hedging technique. Finally, the pricing model of convertible bonds under the condition of random volatility is obtained by combining the partial value of pure bonds of convertible bonds. In the fourth chapter, in the absence of an analytical solution of option pricing, the option pricing under stochastic volatility is numerically simulated by Monte Carlo path simulation. The influence of external disturbance factors on volatility, underlying asset price and option price is discussed. The results show that the greater the interference factor, the greater the volatility, the higher the volatility of underlying asset price and the value of option. In the fifth chapter, taking Sinopec as an example, the above pricing model of convertible bonds is applied to the current convertible bond market in China, which shows the application of the pricing model in practice.
【學(xué)位授予單位】：浙江理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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本文編號(hào)：2242001