基于双因素的三叉树模型在可转债的应用研究
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摘要
本文探索一种符合中国市场并且科学合理有效的可转债定价方法,将信用风险与利率期限结构引入三叉树模型之中,考虑了可转债的复杂条款,建立了基于股价和利率的双因素可转债定价模型.此外,本文对模型进行实证研究,结果验证了模型的有效性,证明模型具有良好的市场切合度.最后,模型与几个已有定价模型相比具有更高市场定价精度.
This paper explores a convertible bond pricing method that is consistent with the Chinese market and is scientifically reasonable and effective. It introduces the term structure of credit risk and interest rate into the ternary tree model. It takes into account the complex terms of convertible bonds and establishes two factors C-B pricing model based on stock price and interest rate. In addition,the paper conducts empirical research on the model,and the results verify the validity of the model and prove that the model has a good degree of market fit.Finally,this model has higher market pricing accuracy than several existing pricing models.
This paper explores a convertible bond pricing method that is consistent with the Chinese market and is scientifically reasonable and effective. It introduces the term structure of credit risk and interest rate into the ternary tree model. It takes into account the complex terms of convertible bonds and establishes two factors C-B pricing model based on stock price and interest rate. In addition,the paper conducts empirical research on the model,and the results verify the validity of the model and prove that the model has a good degree of market fit.Finally,this model has higher market pricing accuracy than several existing pricing models.
引文
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[3]孙卿东,朱海洋.三叉树模型在可转债定价中的应用[J].科学技术与工程,2010,10(9):2267-2270.
[4]李念夷,陈懿冰.基于违约风险的三叉树模型在可转债定价中的应用研究[J].管理评论,2011,23(12):26-31.
[5]张江红,杨善朝.可转换债券定价的三叉树方法[J].太原师范学院学报(自然科学版),2007,6(2):8-11.
[6]庄新田,周玲春.基于双因素的可转换债券定价模型[J].东北大学学报(自然科学版),2006,27(3):320-323.
[7]陈雯,陈浪南.国债利率期限结构:建模与实证[J].世界经济,2000,(8):24-28.
[8]何颖俞.美式期权的三叉树定价模型[J].黑龙江大学自然科学学报,2008,25(1):81-84.
[9]郑振龙,林海.中国违约风险溢酬研究[J].证券市场导报,2003,(6):41-44.
[2]马超群,唐耿.引入信用风险的可转债定价模型及其实证研究[J].系统工程,2004,22(8):69-73.
[3]孙卿东,朱海洋.三叉树模型在可转债定价中的应用[J].科学技术与工程,2010,10(9):2267-2270.
[4]李念夷,陈懿冰.基于违约风险的三叉树模型在可转债定价中的应用研究[J].管理评论,2011,23(12):26-31.
[5]张江红,杨善朝.可转换债券定价的三叉树方法[J].太原师范学院学报(自然科学版),2007,6(2):8-11.
[6]庄新田,周玲春.基于双因素的可转换债券定价模型[J].东北大学学报(自然科学版),2006,27(3):320-323.
[7]陈雯,陈浪南.国债利率期限结构:建模与实证[J].世界经济,2000,(8):24-28.
[8]何颖俞.美式期权的三叉树定价模型[J].黑龙江大学自然科学学报,2008,25(1):81-84.
[9]郑振龙,林海.中国违约风险溢酬研究[J].证券市场导报,2003,(6):41-44.