本文關(guān)鍵詞：可轉(zhuǎn)換債券的無差別定價(jià)　出處：《蘇州大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)換債券 效用函數(shù) 無差別定價(jià) HJB方程 分離變量法

【摘要】：隨著資本市場(chǎng)的競(jìng)爭(zhēng)逐漸激烈,融資成本越來越高,具有較低票面利率的可轉(zhuǎn)換債券深受企業(yè)的喜愛。同時(shí),可轉(zhuǎn)換債券又是股權(quán)投資者和固定收益?zhèn)顿Y者都可以涉足的金融工具,因此中國(guó)的可轉(zhuǎn)換債券市場(chǎng)在近幾年發(fā)展十分迅速。借鑒國(guó)外關(guān)于可轉(zhuǎn)換債券定價(jià)的成熟理論,對(duì)符合我國(guó)國(guó)情的可轉(zhuǎn)換債券定價(jià)及應(yīng)用研究有很大的推動(dòng)作用。 國(guó)內(nèi)外有關(guān)可轉(zhuǎn)換債券的定價(jià)研究主要有：以公司資產(chǎn)作為標(biāo)的的結(jié)構(gòu)化方法以及以公司股票價(jià)格作為標(biāo)的的約化法兩種,它們各有利弊�？紤]到中國(guó)市場(chǎng)的特點(diǎn),公司資產(chǎn)價(jià)值和股票價(jià)格在很多時(shí)候相關(guān)性不大,但其可轉(zhuǎn)換債券又與兩者緊密相關(guān),因此,我們參考有關(guān)文獻(xiàn)做法,將這兩者作為影響可轉(zhuǎn)換債券價(jià)格的因素,采用效用無差別定價(jià)框架,對(duì)可轉(zhuǎn)換債券進(jìn)行定價(jià)研究。本文根據(jù)可轉(zhuǎn)換債券實(shí)際情況,考慮帶有回售條款的可轉(zhuǎn)換債券,將公司資產(chǎn)價(jià)值和股票價(jià)格共同作為影響可轉(zhuǎn)換債券價(jià)格的因素,利用效用無差別定價(jià)方法對(duì)這種可轉(zhuǎn)換債券定價(jià)建立相應(yīng)的數(shù)學(xué)模型,得到一類非齊次偏微分方程的混合問題,應(yīng)用偏微分方程的分離變量法給出了這種可轉(zhuǎn)換債券的效用無差別定價(jià)的級(jí)數(shù)形式的顯式解,這一顯式解具有計(jì)算方便、收斂迅速的特點(diǎn)。最后,分析了風(fēng)險(xiǎn)厭惡系數(shù)、公司價(jià)值和股票價(jià)格的相關(guān)系數(shù)等參數(shù)對(duì)可轉(zhuǎn)換債券的影響。
[Abstract]:With the fierce competition in the capital market, the financing cost is higher and higher. Convertible bonds with lower coupon rate are popular among enterprises. Convertible bonds are also financial instruments that equity investors and fixed income bond investors can set foot in. Therefore, China's convertible bond market has developed very rapidly in recent years. It can promote the pricing and application of convertible bonds according to the situation of our country. There are two kinds of research on convertible bond pricing at home and abroad: the structured method with company assets as the target and the reduction method with the company stock price as the target. In view of the characteristics of the Chinese market, the value of corporate assets and stock prices are not very relevant in many cases, but the convertible bonds are closely related to the two. Therefore, we refer to the relevant literature practice. Taking these two factors as the factors affecting the price of convertible bonds, this paper studies the pricing of convertible bonds by using utility nondifferential pricing framework. In this paper, according to the actual situation of convertible bonds. Considering convertible bonds with a return clause, the value of the company's assets and the price of the shares are taken as the factors affecting the price of the convertible bonds. The utility nondifferential pricing method is used to establish the corresponding mathematical model for the pricing of this convertible bond, and a class of mixed problems of non-homogeneous partial differential equations is obtained. By using the method of separating variables of partial differential equations, the explicit solution of the series form of utility nondifferential pricing of convertible bonds is given. This explicit solution has the characteristics of convenient calculation and rapid convergence. The influence of risk aversion coefficient, correlation coefficient of company value and stock price on convertible bond is analyzed.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1430961