或有可轉換債券的定價與數(shù)值分析
發(fā)布時間：2018-11-05 12:05
【摘要】：或有可轉換債券是2008年金融危機后提出的一種金融衍生產(chǎn)品，由于它對金融危機的惡化能夠起到相應的遏制作用，因此，其概念一經(jīng)提出，就受到了國際社會的廣泛關注和討論，并且受到了很多監(jiān)管機構的推崇。但是由于其發(fā)展時間較短，市場參與者對其條款和價值的分析都還不夠深入，相關的理論研究更是處于起步階段。在此背景下，本文擬對或有可轉換債券的理論定價模型做一番探討，希望對于尚處于發(fā)展初期的或有可轉換債券及金融產(chǎn)品的創(chuàng)新具有一定的借鑒意義。 本文首先回顧了或有可轉換債券國內(nèi)外的研究情況。隨后，在介紹完或有可轉換債券的相關性質(zhì)后，我們對其價值進行了分析，將其價值分解成普通債券價值和美式看跌期權價值之差。通過現(xiàn)金流的貼現(xiàn)，計算出普通債券部分的價值。至于期權部分的價值，則運用二叉樹、二次方程近似法、二次方程近似法的改進這三種方法分別計算出美式期權部分的價值并進行比較，選取一種最合適的方法計算出期權部分的價值。然后再確定整個或有可轉換債券的價值。 接著，我們利用上一章得到的模型對或有可轉換債券進行數(shù)值計算分析。以證券市場上的招商銀行為設計中的發(fā)行者，根據(jù)證券市場情況得到相應的變量，然后根據(jù)文中的模型計算出或有可轉換債券的價值。最后是文章的小結，是對本文內(nèi)容的總結和對未來研究方向的展望。 本文的創(chuàng)新之處在于在美式期權價值的計算方面，我們采用了傳統(tǒng)的二叉樹方法。除此之外，還嘗試了比較少見的二次方程近似方法--BAW方法，但是BAW方法有著固定的缺陷，，為此，我們在BAW基礎上，通過一些參數(shù)的改進，得到了BAW方法的改進。我們將這三種方法進行matlab的編程，并進行比較，得到了適合的方法來得到美式期權的價值。同時，在估計股票收益的波動率方面，本文在傳統(tǒng)的歷史數(shù)據(jù)估計法的基礎上，采用GARCH模型利用極大似然估計法對波動率模型進行了修正，并將其運用到或有可轉換債券的定價中。
[Abstract]:Contingent convertible bonds are a kind of financial derivatives proposed after the financial crisis in 2008. Since they can play a corresponding role in containing the deterioration of the financial crisis, the concept of contingent convertible bonds has been put forward once it has been put forward. It has been widely concerned and discussed by the international community, and praised by many regulators. However, due to its short development time, market participants to its terms and value analysis is not deep enough, the relevant theoretical research is in its infancy. In this context, this paper intends to make a discussion on the theoretical pricing model of contingent convertible bonds, hoping that it will be useful for the innovation of convertible bonds and financial products which are still in the early stage of development. This paper first reviews the domestic and foreign research situation of contingent convertible bonds. Then, after introducing the related properties of contingent convertible bonds, we analyze its value and decompose its value into the difference between the value of ordinary bonds and the value of American put options. The value of the ordinary bond is calculated by discounting the cash flow. As for the value of the option part, the value of the American option part is calculated and compared by using the binary tree and the improved quadratic equation approximation method. Select the most appropriate method to calculate the value of the option part. Then determine the value of the entire contingent convertible bond. Then, we use the model obtained in the previous chapter to calculate and analyze the contingent convertible bonds. Taking China Merchants Bank in the securities market as the issuer in the design, the corresponding variables are obtained according to the situation of the securities market, and then the value of contingent convertible bonds is calculated according to the model in this paper. Finally, the summary of the article is the summary of the content of this paper and the prospect of the future research direction. The innovation of this paper is that we adopt the traditional binary tree method to calculate the value of American option. In addition, a rare quadratic equation approximation method, the BAW method, is also tried, but the BAW method has some fixed defects. Therefore, on the basis of BAW, we get the improvement of the BAW method by improving some parameters. We compare these three methods with matlab, and get the appropriate method to get the value of American option. At the same time, in estimating the volatility of stock returns, based on the traditional historical data estimation method, the GARCH model is used to modify the volatility model by using the maximum likelihood estimation method. And apply it to the pricing of contingent convertible bonds.
【學位授予單位】：浙江財經(jīng)學院
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224
本文編號：2312031
[Abstract]:Contingent convertible bonds are a kind of financial derivatives proposed after the financial crisis in 2008. Since they can play a corresponding role in containing the deterioration of the financial crisis, the concept of contingent convertible bonds has been put forward once it has been put forward. It has been widely concerned and discussed by the international community, and praised by many regulators. However, due to its short development time, market participants to its terms and value analysis is not deep enough, the relevant theoretical research is in its infancy. In this context, this paper intends to make a discussion on the theoretical pricing model of contingent convertible bonds, hoping that it will be useful for the innovation of convertible bonds and financial products which are still in the early stage of development. This paper first reviews the domestic and foreign research situation of contingent convertible bonds. Then, after introducing the related properties of contingent convertible bonds, we analyze its value and decompose its value into the difference between the value of ordinary bonds and the value of American put options. The value of the ordinary bond is calculated by discounting the cash flow. As for the value of the option part, the value of the American option part is calculated and compared by using the binary tree and the improved quadratic equation approximation method. Select the most appropriate method to calculate the value of the option part. Then determine the value of the entire contingent convertible bond. Then, we use the model obtained in the previous chapter to calculate and analyze the contingent convertible bonds. Taking China Merchants Bank in the securities market as the issuer in the design, the corresponding variables are obtained according to the situation of the securities market, and then the value of contingent convertible bonds is calculated according to the model in this paper. Finally, the summary of the article is the summary of the content of this paper and the prospect of the future research direction. The innovation of this paper is that we adopt the traditional binary tree method to calculate the value of American option. In addition, a rare quadratic equation approximation method, the BAW method, is also tried, but the BAW method has some fixed defects. Therefore, on the basis of BAW, we get the improvement of the BAW method by improving some parameters. We compare these three methods with matlab, and get the appropriate method to get the value of American option. At the same time, in estimating the volatility of stock returns, based on the traditional historical data estimation method, the GARCH model is used to modify the volatility model by using the maximum likelihood estimation method. And apply it to the pricing of contingent convertible bonds.
【學位授予單位】：浙江財經(jīng)學院
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224
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