“徐工轉(zhuǎn)債”發(fā)行定價的案例研究
發(fā)布時間：2018-08-31 08:14
【摘要】：本文首先結(jié)合相關(guān)文獻基礎(chǔ)回顧了可轉(zhuǎn)債的發(fā)展過程,了解了可轉(zhuǎn)債的發(fā)展歷程和定價方法的演進。對可轉(zhuǎn)債的研究,國外比較成熟,這與其發(fā)展歷史長遠有關(guān),1977年,Ingersoll2最早使用Black-Scholes定價方法對可轉(zhuǎn)債的定價問題進行研究,在研究基礎(chǔ)可轉(zhuǎn)債和可贖回可轉(zhuǎn)債的時候,引入偏微分方程,提出了基于公司價值的單因素模型,獲得了定價解析式。后期出現(xiàn)了有限差分法、二叉樹法及蒙特卡洛模擬方法等。其次,本文對可轉(zhuǎn)債的定義進行了解釋,對可轉(zhuǎn)債的要素進行了分析,本文還分析了影響可轉(zhuǎn)債價格的因素,包括對應(yīng)標(biāo)的股價、無風(fēng)險利率、票面利率等因素。本文分析了可轉(zhuǎn)債與其他融資方式的優(yōu)劣性,對比可轉(zhuǎn)債與其他融資方式的成本優(yōu)勢和操作優(yōu)勢。隨后對目前四種期權(quán)定價模型進行了闡述和對比分析,四種模型:B-S模型、二叉樹模型、有限差分法及蒙特卡洛模擬法。而后是案例分析部分,首先對案例的背景進行了分析,分析了徐工轉(zhuǎn)債的發(fā)行要素、發(fā)行情況及市場表現(xiàn)。并提出了本文案例分析的問題:徐工轉(zhuǎn)債發(fā)行價格100元,其收盤價為94.92元,發(fā)行價格高出市場價格5.08%,發(fā)行價格有被高估的嫌疑。并且通過觀察發(fā)行,徐工轉(zhuǎn)債2014年7月18日才超過100元,期間8個月的市場表現(xiàn)都低于發(fā)行價格。此問題不是徐工轉(zhuǎn)債個例,是整個可轉(zhuǎn)債定價問題,我國目前發(fā)行可轉(zhuǎn)債都是面值發(fā)行,由于可轉(zhuǎn)債發(fā)行數(shù)量少,目前影響尚小,但是隨著可轉(zhuǎn)債市場的發(fā)展,發(fā)行定價就顯得尤為重要。定價的不準(zhǔn)確容易損害融資方和投資者的利益,且對市場產(chǎn)生不良影響。對于這種問題,本文選擇三種定價方法進行分析,分別是B-S模型法、二叉樹發(fā)及蒙特卡洛模擬法。最后是徐工轉(zhuǎn)債的定價分析,根據(jù)本文的三種方法都可以看出,三種理論價格都低于發(fā)行價格,其中通過蒙特卡洛模擬法得出的理論價格最低,折價10.72%。B-S模型法的理論價格最接近,折價只有7.24%,它與收盤價的誤差只有2.33%。其次是二叉樹模型法的理論價格,與發(fā)行價的誤差為9.97%,與收盤價的誤差為5.43%。所以,根據(jù)上述分析可以得知,徐工轉(zhuǎn)債發(fā)行價格被高估,B-S模型法最適用于徐工轉(zhuǎn)債的定價。本文的意義,在可轉(zhuǎn)債未大規(guī)模發(fā)行之前提出意見和見解,通過徐工轉(zhuǎn)債的個案研究揭示可轉(zhuǎn)債的發(fā)行定價問題,并且采用三種常見的定價模型進行對比分析得出最優(yōu)模型,即B-S模型,該模型在適用性和實際操作過程中具有案例示范作用,可以改進推廣。最后,本文在運用模型定價過程中設(shè)有假設(shè)條件,希望在后續(xù)研究中加以改進。
[Abstract]:This paper first reviews the development process of convertible bonds and understands the evolution of convertible bonds and pricing methods. The research on convertible bonds is mature abroad, which is related to its long history. In 1977, Ingersoll2 first used Black-Scholes pricing method to study the pricing of convertible bonds, while studying basic convertible bonds and redeemable convertible bonds. By introducing partial differential equation, a single factor model based on company value is proposed, and the pricing analytic formula is obtained. Finite-difference method, binary tree method and Monte Carlo simulation method were used in the later period. Secondly, this paper explains the definition of convertible bonds, analyzes the elements of convertible bonds, and analyzes the factors affecting the price of convertible bonds, including the corresponding underlying stock price, risk-free interest rate, coupon interest rate and so on. This paper analyzes the advantages and disadvantages of convertible bonds and other financing methods, and compares the cost advantages and operational advantages between convertible bonds and other financing methods. Then four kinds of option pricing models are described and compared. The four models are: 1: B-S model, 2) tree model, 2) finite difference method and Monte Carlo simulation method. Then there is the case analysis part. Firstly, the background of the case is analyzed, and the issuing factors, the issuing situation and the market performance of Xugong are analyzed. And put forward the problem of this paper case analysis: Xugong transfer bond issue price 100 yuan, its closing price is 94.92 yuan, the issue price is higher than the market price 5.08, the issue price has the suspicion of being overestimated. And by observing the issue, Xugong turned bonds into bonds on July 18, 2014, only more than 100 yuan, during the period of 8 months of market performance below the issue price. This problem is not an example of Xugong converting bonds, it is a whole convertible bond pricing problem. At present, convertible bonds are issued at face value in our country. Due to the small number of convertible bonds issued, the impact is still small at present, but with the development of the convertible bond market, Issue pricing is particularly important. Inaccurate pricing is likely to harm the interests of financiers and investors and have a negative impact on the market. For this problem, this paper chooses three pricing methods to analyze, namely, B-S model, binary tree and Monte Carlo simulation. Finally, it is the pricing analysis of Xugong conversion bond. According to the three methods of this paper, we can see that the three theoretical prices are all lower than the issuing price, among which the theoretical price obtained by Monte Carlo simulation method is the lowest. The theoretical price of the discount 10.72%.B-S model method is the closest, the discount price is only 7.24%, and the error between it and the closing price is only 2.33. Secondly, the theoretical price of the binary tree model method is 9.97 with the issue price, and the error with the closing price is 5.43. Therefore, according to the above analysis, we can know that the price of Xugong convertible bonds is overvalued and the B-S model method is the most suitable for the pricing of Xugong convertible bonds. The significance of this paper, before the large-scale issuance of convertible bonds, put forward the opinions and opinions, through Xugong's case study to reveal the issue of convertible bonds pricing problem, and use three common pricing models for comparative analysis to obtain the optimal model. That is, B-S model, which has case demonstration function in applicability and practical operation, can be improved and popularized. Finally, there are some hypothetical conditions in the pricing process of the model, which we hope to improve in the following research.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
本文編號：2214416
[Abstract]:This paper first reviews the development process of convertible bonds and understands the evolution of convertible bonds and pricing methods. The research on convertible bonds is mature abroad, which is related to its long history. In 1977, Ingersoll2 first used Black-Scholes pricing method to study the pricing of convertible bonds, while studying basic convertible bonds and redeemable convertible bonds. By introducing partial differential equation, a single factor model based on company value is proposed, and the pricing analytic formula is obtained. Finite-difference method, binary tree method and Monte Carlo simulation method were used in the later period. Secondly, this paper explains the definition of convertible bonds, analyzes the elements of convertible bonds, and analyzes the factors affecting the price of convertible bonds, including the corresponding underlying stock price, risk-free interest rate, coupon interest rate and so on. This paper analyzes the advantages and disadvantages of convertible bonds and other financing methods, and compares the cost advantages and operational advantages between convertible bonds and other financing methods. Then four kinds of option pricing models are described and compared. The four models are: 1: B-S model, 2) tree model, 2) finite difference method and Monte Carlo simulation method. Then there is the case analysis part. Firstly, the background of the case is analyzed, and the issuing factors, the issuing situation and the market performance of Xugong are analyzed. And put forward the problem of this paper case analysis: Xugong transfer bond issue price 100 yuan, its closing price is 94.92 yuan, the issue price is higher than the market price 5.08, the issue price has the suspicion of being overestimated. And by observing the issue, Xugong turned bonds into bonds on July 18, 2014, only more than 100 yuan, during the period of 8 months of market performance below the issue price. This problem is not an example of Xugong converting bonds, it is a whole convertible bond pricing problem. At present, convertible bonds are issued at face value in our country. Due to the small number of convertible bonds issued, the impact is still small at present, but with the development of the convertible bond market, Issue pricing is particularly important. Inaccurate pricing is likely to harm the interests of financiers and investors and have a negative impact on the market. For this problem, this paper chooses three pricing methods to analyze, namely, B-S model, binary tree and Monte Carlo simulation. Finally, it is the pricing analysis of Xugong conversion bond. According to the three methods of this paper, we can see that the three theoretical prices are all lower than the issuing price, among which the theoretical price obtained by Monte Carlo simulation method is the lowest. The theoretical price of the discount 10.72%.B-S model method is the closest, the discount price is only 7.24%, and the error between it and the closing price is only 2.33. Secondly, the theoretical price of the binary tree model method is 9.97 with the issue price, and the error with the closing price is 5.43. Therefore, according to the above analysis, we can know that the price of Xugong convertible bonds is overvalued and the B-S model method is the most suitable for the pricing of Xugong convertible bonds. The significance of this paper, before the large-scale issuance of convertible bonds, put forward the opinions and opinions, through Xugong's case study to reveal the issue of convertible bonds pricing problem, and use three common pricing models for comparative analysis to obtain the optimal model. That is, B-S model, which has case demonstration function in applicability and practical operation, can be improved and popularized. Finally, there are some hypothetical conditions in the pricing process of the model, which we hope to improve in the following research.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
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