本文關(guān)鍵詞： 可轉(zhuǎn)換債券 二叉樹模型 定價　出處：《安徽農(nóng)業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：可轉(zhuǎn)換債券作為上市公司進(jìn)行融資的一種金融工具在我國的發(fā)展已有二十余年的歷史。由于其具有較低的發(fā)行門檻，在發(fā)行初期融資成本也低于債券，當(dāng)上市公司財務(wù)杠桿過大又或是期初不想承擔(dān)較大的利息現(xiàn)金流出，，同時公司本身的財務(wù)狀況、盈利水平和資本結(jié)構(gòu)等并不符合增發(fā)股票所要求的相關(guān)限制條件時，選擇可轉(zhuǎn)債上市融資就成為了該類公司一條理想的融資迂回之道。 能否對可轉(zhuǎn)債價值進(jìn)行準(zhǔn)確評估不僅對于發(fā)行公司，對于投資者也具有重要的意義。本文列舉了目前幾種常見的可轉(zhuǎn)債期權(quán)價值定價模型，對各個模型的優(yōu)缺點進(jìn)行比較，并在分析了各模型同我國證券市場相適應(yīng)的程度之后，選擇二叉樹模型對我國目前正在市面上流通的所有可轉(zhuǎn)債進(jìn)行定價研究。 本文首先對于可轉(zhuǎn)債價值構(gòu)成進(jìn)行分析，之后闡述可轉(zhuǎn)債的定價模型，對于可轉(zhuǎn)債價值中最重要的期權(quán)價值部分目前的幾種定價方法進(jìn)行介紹。接著從我國可轉(zhuǎn)債市場的實際情況出發(fā)，選取目前在市場上流通的所有的可轉(zhuǎn)債作為樣本，收集了每一只可轉(zhuǎn)債從發(fā)行初始到2012年3月20號這段時間的收盤價數(shù)據(jù)，運用二叉樹模型進(jìn)行可轉(zhuǎn)債定價分析。運用matlab軟件對模型進(jìn)行編程，而相關(guān)參數(shù)指標(biāo)用excel相應(yīng)函數(shù)計算。最后用得出的研究結(jié)果進(jìn)行比較分析，對分析結(jié)果進(jìn)行總結(jié)以及給出相應(yīng)建議。
[Abstract]:Convertible bonds, as a kind of financial instrument for financing of listed companies, have been developing for more than 20 years in China. Because of their low threshold of issuance, the financing cost of convertible bonds at the beginning of issuance is also lower than that of bonds. When the financial leverage of a listed company is too large or the company does not want to take on a large amount of interest cash outflow at the beginning of the period, and when the company's own financial situation, profit level and capital structure do not meet the relevant restrictions required for the issuance of additional shares, The choice of convertible bonds listed financing has become an ideal financing circuitous way for such companies. Whether the value of convertible bonds can be accurately evaluated is of great significance not only to the issuing company but also to investors. This paper enumerates several common pricing models of convertible bond options and compares the advantages and disadvantages of each model. After analyzing the degree of adaptation of each model to China's securities market, the binomial tree model is selected to study the pricing of all convertible bonds in circulation in our country at present. This paper first analyzes the value composition of convertible bonds, and then expounds the pricing model of convertible bonds. This paper introduces several pricing methods of the most important option value in the value of convertible bonds. Then, starting from the actual situation of China's convertible bond market, we select all the convertible bonds in circulation in the market as samples. This paper collects the closing price data of each convertible bond from the beginning of issuance to March 20th 2012, and uses the binary tree model to analyze the pricing of convertible bonds. Matlab software is used to program the model. The relative parameters are calculated by the corresponding function of excel. Finally, the research results obtained are compared and analyzed, and the analysis results are summarized and the corresponding suggestions are given.
【學(xué)位授予單位】：安徽農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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