投资者异质性下可转换债券定价研究及最优策略分析
|
摘要
伴随着改革开放进程的不断推进，中国的资本市场经过逾二十年的发展，由量变逐渐转向质变，整体规模显著增大，市场功能开始得以发挥，运行规范性以及质量也得到明显的提升，国民经济“晴雨表”的作用日趋明显，为国内市场进一步的创新发展奠定了坚实的基础。
积极稳妥地发展包括可转换债券在内的各类衍生金融产品，既是资本市场进一本深入发展的客观需要，同时也是市场上各类投资者进行风险管理的迫切要求，对于完善市场结构，丰富交易品种，加快金融体制改革，增强国民经济的抗风险能力，具有重要的意义。从海外市场经验来看，可转换债券为金融市场的繁荣和企业竞争力的提升起到了积极的推动作用，能够有效地增强市场的整体弹性和灵活性，促进市场实现健康、持续、稳定发展。而从国内资本市场的现状来说，可转换债券市场的繁荣，对于增强市场机构差异化竞争活力，促进投资策略多样化、竞争模式多层次化的金融生态环境的加快形成，缓解长期困扰我国资本市场的股权融资比例过高等困境也有着积极的示范意义。
但由于可转换债券具有明显的不确定性、非线性和奇异期权特性，加之可转换债券附加条款之间的相互作用也会影响可转换债券的价值，并对可转换债券持有人和发行人最优策略的选择路径产生深刻的影响，因此可转换债券的相关理论研究一直都是学术界的难点问题。而受国内市场发展时日尚短、样本数据有限的掣肘，国内对包括赎回策略、赎回公告效应等问题均甚少有全面、深入的实证研究成果。有鉴于此，本文从多个角度出发，围绕可转换债券的定价模型、相应的数值实现技术以及最优策略等展开了较为深入的研究。
首先，可转换债券的诸多附加条款如转换条款与赎回条款之间呈相互影响、相互制约之态，债券发行人与持有人在选择最优策略路径时带有显明的博弈特征。因此本文基于期权博弈理论的最新研究成果，尝试建立了考虑债券发行人和持有人之间博弈的可转换债券定价模型，并推导了该定价模型的有限元数值解法。在此基础之上，分析了可转换债券条款对最优策略的影响。
其次，以我国可转换债券市场样本为例对赎回策略进行了实证分析。采用文中基于期权博弈理论的可转换债券定价和策略分析模型计算理论值，并与国内市场实际情况进行对比，检验了我国可转换债券的赎回溢价以及是否存在推迟赎回现象等，探讨了所得结果与国外同类型研究成果不同之处的内在原因。实证结果表明，采用基于博弈期权方法的定价模型所得结果较之现有相关文献的结果能够更好的反映市场上所存在的诸多现象。
再次，鉴于可转换债券现有研究模型多建立在投资者理性范式之下，较少考虑投资者异质性的影响，本文尝试将行为金融理论引入可转换债券定价模型之中，采用投资者的后悔厌恶来表征投资者的异质信念，构建了投资者异质信念下可转换债券定价模型，重点探讨了异质信念对可转换债券赎回策略的影响，给出了一个行为金融分析理念与传统可转换债券定价模型框架相结合的示例。理论模型及数值实验结果均表明可转换债券发行者的后悔厌恶情绪是可转换债券推迟（或者提前）赎回的一个重要原因。
最后，以国内可转债市场上已完成赎回的样本对赎回公告效应进行了检验，重点探讨了流动性压力和信息不对称假说对于我国市场样本的解释效力。实证结果显示，赎回公告时产生的超额收益符合流动性假说，但赎回公告后的超额收益则与其不一致，其所预测的价格回复现象并未得到验证。对于不对称信息假说，本章所获得的实证结果表明，该假说可以在一定程度上解释国内可转换债券赎回公告时出现的超额收益。
综上，本文从多个层面深入地探讨了可转换债券定价问题的内在机制与演化过程，力图更好的反映可转换债券附加条款以及投资者行为对于可转换债券价值和最优策略的影响。通过采用国内可转换债券市场数据，检验了所提模型的有效性，并对比分析了可转换债券国内外市场所存在的不同及其成因，力求为促进我国金融机构投资国际可转换债券市场和国内可转换债券市场的创新发展，提供合理的、科学的依据。
With the continuous progress of the opening-up during the last twenty years, the roleof the capital market in China has become more and more important which will be thesolid foundation for further innovative development.
To develop multi-kinds of derivatives including convertible bonds is not only for theneed of the development of capital market but also for the need of risk management ofinvestors. This process will play an important role in many aspects, such as perfect marketstructure, enrich tradable products, fasten the reform of financial system and strengthenthe anti-risk ability of investors. From the perspective of overseas market, convertiblebond is useful for the prosperity of financial market and the promotion of enterprisecompetitiveness which will enhance the elasticity and flexibility of the whole marketeffectively. In the other hand, the prosperity of the convertible bond is also helpful to solveChinese capital market troubles such as extortionate stock financing ratio, lack ofinvestment tools and financial innovation.
However, the characteristics of uncertainty, nonlinear and exotic deep inside in theconvertible bonds puls the interaction of the additional clauses make it difficult to priceand analyze properly. Thus, the valuation, numerical implementation and optimal strategyanalysis are still hot issues in relevant fields. Furthermore, the handicap in the short ofdata sample due to the young age of Chinese convertible market, only few formerliteratures deal with the empirical study on the call strategy and call announcement effectsin domestic market. Therefore, a deep study on convertible bond pricing models,numerical implementation techniques and empirical study is conceded in this dissertation.
Firstly, based on the method of option game, a valuation model for convertible bondswhich takes the characteristics of game between the bonds issuer and holder into accountis built, and then numerical solution of the model through finite element method is derivedcorrespondly. On the basis of that, the impacts of several additional clauses on the choiceof optimal strategy are analyzed.
Secondly, an empirical study on the call strategy in Chinese market is conducted.Through the comparison of the theoretical results derived from the model proposed in the first part and the actual redemption results in the market, the validity of the model isexamined. The results shows the model proposed in this dissertation can reflect the marketphenomenon better than former literatures. In addition, some high degree of call late stillneeds further explanation which leads to the third part of the dissertation.
Thus, under the framework of behavioral finance, this dissertation use the regretaversion to stand for the heterogeneous beliefs of investors and a revised pricing model isconstructed subsequently. Focusing on the call strategy, the impact of investors’heterogeneous belief on the convertible bonds is analyzed. Results of theoretical modeland numerical simulation both point out that the regret aversion of convertible bondsissuers could explain call strategy of convertible bonds late(early) properly.
Finally, the call announcement effects of convertible bonds in Chinese market areexamined. The analysis on the cumulative abnormal returns finds only little support for theliquidity hypothesis, especially the price reversion predicted by the liquidity hypothesisdoesn’t show up in the test. On the other hand, the hypothesis of asymmetry informationseems more robust than liquidity hypothesis in our results.
In general, the results proposed in this dissertation will provide some help forunderstanding the characteristic of convertible bonds better and promote the developmentof convertible bonds markets in China.
积极稳妥地发展包括可转换债券在内的各类衍生金融产品，既是资本市场进一本深入发展的客观需要，同时也是市场上各类投资者进行风险管理的迫切要求，对于完善市场结构，丰富交易品种，加快金融体制改革，增强国民经济的抗风险能力，具有重要的意义。从海外市场经验来看，可转换债券为金融市场的繁荣和企业竞争力的提升起到了积极的推动作用，能够有效地增强市场的整体弹性和灵活性，促进市场实现健康、持续、稳定发展。而从国内资本市场的现状来说，可转换债券市场的繁荣，对于增强市场机构差异化竞争活力，促进投资策略多样化、竞争模式多层次化的金融生态环境的加快形成，缓解长期困扰我国资本市场的股权融资比例过高等困境也有着积极的示范意义。
但由于可转换债券具有明显的不确定性、非线性和奇异期权特性，加之可转换债券附加条款之间的相互作用也会影响可转换债券的价值，并对可转换债券持有人和发行人最优策略的选择路径产生深刻的影响，因此可转换债券的相关理论研究一直都是学术界的难点问题。而受国内市场发展时日尚短、样本数据有限的掣肘，国内对包括赎回策略、赎回公告效应等问题均甚少有全面、深入的实证研究成果。有鉴于此，本文从多个角度出发，围绕可转换债券的定价模型、相应的数值实现技术以及最优策略等展开了较为深入的研究。
首先，可转换债券的诸多附加条款如转换条款与赎回条款之间呈相互影响、相互制约之态，债券发行人与持有人在选择最优策略路径时带有显明的博弈特征。因此本文基于期权博弈理论的最新研究成果，尝试建立了考虑债券发行人和持有人之间博弈的可转换债券定价模型，并推导了该定价模型的有限元数值解法。在此基础之上，分析了可转换债券条款对最优策略的影响。
其次，以我国可转换债券市场样本为例对赎回策略进行了实证分析。采用文中基于期权博弈理论的可转换债券定价和策略分析模型计算理论值，并与国内市场实际情况进行对比，检验了我国可转换债券的赎回溢价以及是否存在推迟赎回现象等，探讨了所得结果与国外同类型研究成果不同之处的内在原因。实证结果表明，采用基于博弈期权方法的定价模型所得结果较之现有相关文献的结果能够更好的反映市场上所存在的诸多现象。
再次，鉴于可转换债券现有研究模型多建立在投资者理性范式之下，较少考虑投资者异质性的影响，本文尝试将行为金融理论引入可转换债券定价模型之中，采用投资者的后悔厌恶来表征投资者的异质信念，构建了投资者异质信念下可转换债券定价模型，重点探讨了异质信念对可转换债券赎回策略的影响，给出了一个行为金融分析理念与传统可转换债券定价模型框架相结合的示例。理论模型及数值实验结果均表明可转换债券发行者的后悔厌恶情绪是可转换债券推迟（或者提前）赎回的一个重要原因。
最后，以国内可转债市场上已完成赎回的样本对赎回公告效应进行了检验，重点探讨了流动性压力和信息不对称假说对于我国市场样本的解释效力。实证结果显示，赎回公告时产生的超额收益符合流动性假说，但赎回公告后的超额收益则与其不一致，其所预测的价格回复现象并未得到验证。对于不对称信息假说，本章所获得的实证结果表明，该假说可以在一定程度上解释国内可转换债券赎回公告时出现的超额收益。
综上，本文从多个层面深入地探讨了可转换债券定价问题的内在机制与演化过程，力图更好的反映可转换债券附加条款以及投资者行为对于可转换债券价值和最优策略的影响。通过采用国内可转换债券市场数据，检验了所提模型的有效性，并对比分析了可转换债券国内外市场所存在的不同及其成因，力求为促进我国金融机构投资国际可转换债券市场和国内可转换债券市场的创新发展，提供合理的、科学的依据。
With the continuous progress of the opening-up during the last twenty years, the roleof the capital market in China has become more and more important which will be thesolid foundation for further innovative development.
To develop multi-kinds of derivatives including convertible bonds is not only for theneed of the development of capital market but also for the need of risk management ofinvestors. This process will play an important role in many aspects, such as perfect marketstructure, enrich tradable products, fasten the reform of financial system and strengthenthe anti-risk ability of investors. From the perspective of overseas market, convertiblebond is useful for the prosperity of financial market and the promotion of enterprisecompetitiveness which will enhance the elasticity and flexibility of the whole marketeffectively. In the other hand, the prosperity of the convertible bond is also helpful to solveChinese capital market troubles such as extortionate stock financing ratio, lack ofinvestment tools and financial innovation.
However, the characteristics of uncertainty, nonlinear and exotic deep inside in theconvertible bonds puls the interaction of the additional clauses make it difficult to priceand analyze properly. Thus, the valuation, numerical implementation and optimal strategyanalysis are still hot issues in relevant fields. Furthermore, the handicap in the short ofdata sample due to the young age of Chinese convertible market, only few formerliteratures deal with the empirical study on the call strategy and call announcement effectsin domestic market. Therefore, a deep study on convertible bond pricing models,numerical implementation techniques and empirical study is conceded in this dissertation.
Firstly, based on the method of option game, a valuation model for convertible bondswhich takes the characteristics of game between the bonds issuer and holder into accountis built, and then numerical solution of the model through finite element method is derivedcorrespondly. On the basis of that, the impacts of several additional clauses on the choiceof optimal strategy are analyzed.
Secondly, an empirical study on the call strategy in Chinese market is conducted.Through the comparison of the theoretical results derived from the model proposed in the first part and the actual redemption results in the market, the validity of the model isexamined. The results shows the model proposed in this dissertation can reflect the marketphenomenon better than former literatures. In addition, some high degree of call late stillneeds further explanation which leads to the third part of the dissertation.
Thus, under the framework of behavioral finance, this dissertation use the regretaversion to stand for the heterogeneous beliefs of investors and a revised pricing model isconstructed subsequently. Focusing on the call strategy, the impact of investors’heterogeneous belief on the convertible bonds is analyzed. Results of theoretical modeland numerical simulation both point out that the regret aversion of convertible bondsissuers could explain call strategy of convertible bonds late(early) properly.
Finally, the call announcement effects of convertible bonds in Chinese market areexamined. The analysis on the cumulative abnormal returns finds only little support for theliquidity hypothesis, especially the price reversion predicted by the liquidity hypothesisdoesn’t show up in the test. On the other hand, the hypothesis of asymmetry informationseems more robust than liquidity hypothesis in our results.
In general, the results proposed in this dissertation will provide some help forunderstanding the characteristic of convertible bonds better and promote the developmentof convertible bonds markets in China.
引文
[1] Abhyankar, A., Dunning, A. Wealth effects of convertible bond and convertiblepreference share issues: An empirical analysis of the UK market. Journal of Bankingand Finance,1999,23(7):336-352
[2] Ait-Sahalia, Y., Lo, A. W. Nonparametric estimation of state price densities implicitin financial asset prices. Journal of Finance,1998,53(2):499-547
[3] Altintig, Z. A., Butler, A. W. Are they still called late? The effect of notice period oncalls of convertible bonds. Journal of Corporate Finance,2005,11(1-2):337-350
[4] Amihud, Y. Illiquidity and stock returns: cross-section and time series effects.Journal of Financial Markets,2002,5(1):31-56
[5] Ammann, M., Kind, A., Wilde, C. Are convertible bonds underpriced? An analysisof the french market. Journal of Banking and Finance,2003,27(4):12-27
[6] Ammann, M., Fehr, M., Seiz, R. New evidence on the announcement effect ofconvertible and exchangeable bonds. Journal of Multinational financial management,2006,16(1):16:43-63
[7] Ammann, M., Kind, A., Wilde, C. Simulation-based pricing of convertible bonds.Journal of Empirical Finance,2008,15(2):310-331
[8] Ammann, M., Kind, A., Seiz, R. What drives the performance of convertible-bondfunds? Journal of Banking and Finance,2010,34(11):2600-2613
[9] Arshanapalli, B., Fabozzi, F. J., Switzer, et al. New evidence on the market impactof convertible bond issues in the U. S. Finance Letters,2005,3(3):1-6
[10] Artzner, G. J., Stover, R. D. The Effect of Forced Conversions on Common StockPrices. Financial Management,1989,9(1):39-45
[11] Asquith, P., Mullins, D. W. Convertible debt: corporate call policy and voluntaryconversion. Journal of Finance,1991,46(4):1273-1289
[12] Asquith, P. Convertible bonds are not called late. Journal of Finance,1995,50(4):1275-1289
[13] Ayache, E., Forsyth, P., Vetzal, K. Valuation of convertible bonds with credit risk.Journal of Derivatives,2003,11(1):9-29
[14] Barberis, N., Thaler, R. A survey of behavioral finance. Handbook of the Economicsof Finance, Chapter2003,18:1051-1128
[15] Bardhan, I., Bergier, A., Derman, E. Valuing convertible bonds as derivatives.Goldman Sachs Quantitative Strategies Research Notes,1994, July
[16] Barone-Adesi, G., Bermudez, A., Hatgioannides, J. Two-factor convertible bondsvaluation using the method of characteristics/finite elements. Journal of EconomicDynamics and Control,2003,27(10):1801-1831
[17] Basak S. A model of dynamic equilibrium asset pricing with heterogeneous beliefsand extraneous risk. Journal of Economic Dynamics and Control,2000,24(1):63-95
[18] Bechmann, K. L. Short sales, price pressure, and the stock price response toconvertible bond calls. Journal of Financial Markets,2004,7(4):427-451
[19] Bermudez, A., Webber, N. An asset based model of defaultable convertible bondswith endogenous recovery.2004, working paper
[20] Beveridge, C., Joshi, M. Monte Carlo bounds for game options includingconvertible bonds. Management Science,2011,57(5):960-974
[21] Bielecki, T. R., Crépey, S., Jeanblanc, M., et al. Arbitrage pricing of defaultablegame options with applications to convertible securities. Quantitative Finance,2008,8(8):795-810
[22] Bielecki, T. R., Crépey, S., Jeanblanc, M., et al. Convertible bonds in a defaultablediffusion model,2009, Working paper
[23] Black, F. Noise. Journal of Finance,1986,41(3):529-543
[24] Black, F., Derman, E., Toy, B. A one factor model of interest rates and itsapplication to Treasury bond options. Financial Analyst Journal,1990,46(1):33-39
[25] Black, F., Scholes, M. The pricing of options and corporate liabilities. Journal ofPolitical Economy,1973,81(3):637-654
[26] Blazenko, G. W. Managerial preferences, asymmetric information, and financialstructure. Journal of Finance,1987,42(4):839-862
[27] Boris, A., Dwight, M. J., Alexei, T. Contingent convertible bonds and capitalstructure decisions,2010, Working Paper
[28] Brennan, M. J, Schwartz, E. S. Convertible bonds: Valuation and optimal strategiesfor call and conversion. Journal of Finance,1977,32(5):66-86
[29] Brennan, M. J., Schwartz, E. S. A continuous time approach to pricing bonds.Journal of Banking and Finance,1979,3(2):133-155
[30] Brennan, M. J., Schwartz E. S. Analyzing convertible bonds. Journal of Financialand Quantitative Analysis,1980,15(4):22-74
[31] Brick, I. E., Palmon, O., Patro, D. K. Stock price response to calls of convertiblebonds: still a puzzle? Financial Management,2007,36(2):65-85
[32] Buchan, M. J. Convertible bond pricing: Theory and evidence. Dissertation,Harvard University,1997, unpublished
[33] Buchan, M. J. The pricing of convertible bonds with stochastic term structures andcorporate default risk. Amos Tuck School of Business, Dartmouth College,1998,working paper
[34] Buetow, G. W., Buell, S. G. An alternative call policy convertible debt. Journal ofFinancial and strategic decisions,1995,8(3):27-41
[35] Bühler W., Koziol C. Calling convertible bonds too late can be rational. EFA2004Maastricht Meetings Paper No.4355,2004
[36] Butler, A. W. Revisting optimal call policy for convertible. Financial AnalystJournal,2002,58(1):50-55
[37] Buraschi, A., Alexei, J. Model uncertainty and option markets with heterogeneousbeliefs. Journal of Finance,2006,61(6):2841-2897
[38] Burlacu, R. New evidence on the pecking order hypothesis: the case of Frenchconvertible bonds. Journal of Multinational Financial Management,2000,10(3-4):439-459
[39] Byrd, A. K., Moore, W. T. On the information content of calls of convertiblesecurities. Journal of Business,1996,69(1):89-101
[40] Campbell, C. J., Ederington, L. H., Vankudre, P. Tax shields, sample-selection bias,and the information content of conversion-forcing bond calls. Journal of Finance,1991,46(4):1291-1324
[41] Campbell, J. Y. Asset pricing at the millennium. Journal of Finance,2000,55(4):1515-1567
[42] Carayannopoulos, P. Valuing convertible bonds under the assumption of stochasticinterest rates: An empirical investigation. Quarterly Journal of Business andEconomics,1996,35(3):125-143
[43] Chan, A. W. H., Chen, N. F. Convertible bond under-pricing: renegotiable covenants,seasoning, and convergence. Management Science,2007,53(11):1793-1814
[44] Cheng, W., Visaltanachoti, N., Kesayan, P. A stock market reaction followingconvertible bond issuance: evidence from Japan. International Journal of Business,2005,10(4):323-340
[45] Choi, D., Getmansky, M., Tookes, H. Convertible bond arbitrage, liquidityexternalities, and stock prices. Journal of Financial Economics,2009,91(2):227-251
[46] Choi, D., Getmansky, M., Henderson, B., et al. Convertible bond arbitrageurs assuppliers of capital. Review of Financial Studies,2010,23(6):2492-2522
[47] Christoph, K., Kees, V. S. Perpetual convertible bonds with credit risk. Stochastics:An International Journal of Probability and Stochastic Processes,2008,80(6):585-610
[48] Constantinides, G. M. Warrant exercise and bond conversion in competitive markets.Journal of Economic Theory,1984,13(3):371-397
[49] Constantinides, G., Grundy, B. D. Call and conversion of convertible corporatebonds: Theory and evidence. Proceedings, Seminar on the Analysis of SecurityPrices, CRSP, Graduate School of Business, University of Chicago,1986:35-69
[50] Cowan, A. R. Non-parametric event study tests. Review of Quantitative Finance andAccounting,1992,2:343-358
[51] Cowan, A. R., Nayar, N., Singh, A. K. Underwriting and calls of convertible bonds.Decision Sciences,2000,31(1):57-77
[52] Cox, J. C., Ingersoll, J. E., Ross, S. A. A theory of term structure of interest rate.Econometrical,1985,53(2):385-407
[53] Cox, J. C., Ross, S. A., Rubinstein, M. Option pricing: A simplified approach.Journal of Financial Economics,1979,7(3):458-472
[54] Dai, M., Kwok, Y. K. Optimal policies of call with notice period requirement.Asia-Pacific Financial Markets,2006,12(4):351-373
[55] Davis, M., Lishka, F. R. Convertible bond with market risk and credit risk.Tokyo-Mitsubishi International plc,1999, working paper
[56] DeLong, B., Shleifer, A., Lawrence, S., et al. Noise trader risk in financial markets.Journal of Political Economy,1990(a):98(4):703-738
[57] DeLong, B., Shleifer, A., Lawrence, S., et al. Positive feedback investmentstrategies and destabilizing rational speculation. Journal of Finance,1990(b):45(2):379-395
[58] Derman, E., Kani, I. Riding on a smile. Risk,1994,7:32-38
[59] Domian, D. L., Reichenstein, W. Return-based styled analysis of convertible bondfunds. The journal of Fixed Income,2009,18(3):52-64
[60] Duan, J. C. The GARCH option pricing model. Mathematic Finance,1995,5(1):13-32
[61] Duca, E., Dutordoir, M., Veld, C., et al. Why are convertible bond announcementsassociated with increasingly nagetive issuer stock returns? An arbitrage-basedexplanation. Journal of Banking and Finance,2012,36(11):2884-2899
[62] Duffie, D., Singleton, K. Modeling Term Structure of Defaultable Bonds. Review ofFinancial Studies,1999,12(4):687-720
[63] Dumas B, Kurshev A, Uppal R. Equilibrium portfolio strategies in the presence ofsentiment risk and excess volatility. Journal of Finance,2009,64(2):579-629
[64] Dutordoir, M., Gucht, L. V. Are there windows of opportunity for convertible debtissuance? Evidence for Western Europe. Journal of Banking and Finance,2007,31(9):2828-2846
[65] Ederington, L. H., Goh, J. C. Is convertible bond call really bad news? Journal ofBusiness,2001,74(3):459-476
[66] Egami, M. A game options approach to the investment problem with convertibledebt financing. Journal of Economic Dynamics&Control,2010(34):1456-1470
[67] Ekkaryokkaya, P. Why are convertible bonds called late: Is it a notice period or therisk of financial distress? Working Paper,2010
[68] Emanuel, D. C. Warrant valuation and exercise strategy. Journal of FinancialEconomics,1983,12(2):211-235
[69] Epstein, D., Haber, R., Wilmott, R. Pricing and hedging convertible bonds undernon-probabilistic. Journal of Derivatives,2000,7(4):31-40
[70] Ewing, R. E., Wang, H. A summary of numerical methods for time-dependentadvection-dominated partial differential equations. Journal of Computational andApplied Mathematics,2001,128(1-2):423–445
[71] Fields, L. P., Mais, E., William, T. M. Conversion-forcing security calls: wealthtransfers revisited. International Review of Economics and Finance,1995,4(1):17-27
[72] Foufas, G., Larson, M. G. Valuing Asian options using the finite element method andduality techniques. Journal of Computational and Applied Mathematics,2008,222(1):144-158
[73] Friedman, A. Stochastic differential equations and applications. Probability andMathematical Statistics, Academic Press, New York,1975
[74] Gallmeyer, M., Hollifield, B. An examination of heterogeneous beliefs with a shortsale constraint. Review of Finance,2008,12(2):323-364
[75] Gong, P., He, Z. W., Zhu, S. P. Pricing convertible bonds based on a multi-stagecompound-option model. Physica A: Statistical Mechanics and its Applications,2006,366(1):449-462
[76] Grant, D., Vora, G., Weeks, D. Path-dependent options: Extending the Monte Carlosimulation approach. Management Science,1997,43(11):1589-1602
[77] Grau, A. J., Forsyth, P. A., Vetzal, K. R. Convertible bonds with call notice periods.2003, working paper
[78] Harris, M., Raviv, A. A sequent signaling model of convertible debt call policy.Journal of Finance,1985,40(5):1263-1281
[79] Hennessy, C. A., Tserlukevich, Y. Taxation, agency conflicts, and the choicebetween callable and convertible debt. Journal of Economic Theory,2008,143(1):374-404
[80] Ho, T. S. Y., Lee, S. B. Term structure movements and pricing interest ratecontingent claims. Journal of Finance,1986,41(5):1011-1029
[81] Hull, J. Options, futures and other derivatives (Fourth Edition): Prentice Hall, Inc.2000
[82] Hull, J., White, A. Pricing interest rate derivative securities. Review of FinancialStudies,1990,3(4):573-592
[83] Hull, J., White, A. The general Hull-White model and super calibration. FinancialAnalysts Journal,2001,57(6):789-812
[84] Hung, M. W., Wang, J. Y. Pricing convertible bonds subject to default risk. TheJournal of Derivatives,2002,10(2):75-87
[85] Ingersoll, J. E. A contingent-claims valuation of convertible securities. Journal ofFinancial Economics,1977a,4(2):156-168
[86] Ingersoll, J. E. An examination of corporate call policies on convertible securities.Journal of Finance,1977b,32(2):463-478
[87] Jaffee D., Shleifer A. Costs of financial distress, delayed calls of convertible bonds,and the role of investment banks. Journal of Business,1990,63(1):107-123
[88] Jalan, P., Barone-Adesin, G. Equity financing and corporate convertible bond policy.Journal of Banking and Finance,1995,19(2):187-206
[89] Jamshidian, F. An exact bond option pricing formula. Journal of Finance,1989,44(1):205-209
[90] Jarrow, R. Options on commodities under stochastic interest rates. Advances inFutures and Options Research,1987,2:19-45
[91] Jarrow, R. A., Turnbull, S. M. Pricing derivatives on financial securities subject tocredit risk. Journal of Finance,1995,50(1):200-236
[92] Johnson, H. Options on the maximum or minimum of several assets. Journal ofFinancial and Quantitative Analysis,1987,22(3):277-283
[93] Kahneman, D., Tversky, A. Prospect theory: An analysis of decision under risk.Econometrica,1979,47(2):263-292
[94] Kallsen, J., Kühn, C. Convertible bonds: financial derivatives of game type.2005,working paper
[95] Kang, J. K., Stulz, R. M. How different is Japanese corporate finance? Aninvestigation of the information content of new security issues. Review of FinancialStudies,1996,9(1):109-139
[96] Karatzas, J., Kou, S. G. Hedging American contingent claims with constrainedportfolios. Finance and Stochastic,1998,2(3):215-258
[97] Kariya, T., Tsuda, H. Time dependent markov model for pricing convertible bonds.Asian-Pacific Financial Markets,2000,7(3):79-98
[98] Kifer, Y. Game options. Finance and Stochastics,2000,4(4):443-463
[99] Kim, Y. O., Kallberg, J. Convertible calls and corporate taxes under asymmetricinformation. Journal of Banking and Finance,1998,22(1):19-40
[100] Kimura, T., Shinohara, T. Monte Carlo analysis of convertible bonds with resetclauses. European Journal of Operational Research,2006,168:301-310
[101] King, R. Convertible bond valuation: An empirical test. Journal of FinancialResearch,1986,9(1):458-478
[102] King, R. D., Mauer, D. C. Corporate call policy for noncovertible bonds. Journal ofBusiness,2000,73(3):403-444
[103] King, R. D., Mauer, D. C. Determinants of corporate call policy for convertiblebonds. Working Paper,2012
[104] Kogan, L., Ross, S., Wang, J., et al. The price impact and survival of irrationaltraders. Journal of Finance,2006,61(1):195-229
[105] Kovalov, P., Linetsky, V. Valuing convertible bonds with stock price, volatility,interest rate, and default risk. Working Paper, Available at SSRN: http://ssrn. com/abstract=1113385,2008
[106] Koziol, C. Optimal exercise strategies for corporate warrants. Quantitative Finance,2006,6(1):37-54
[107] Kuhlman, R. B., Radcliffe, C. R. Factors affecting the equity price impacts ofconvertible bonds. Journal of Applied Business Research,1992,8(4):798-823
[108] Kühn, C. Game contingent claims in complete and incomplete markets.2002,working paper
[109] Kwok, Y. K., Lau, K. W. Pricing algorithms for options with exotic path dependence.Journal of Derivatives,2001,9(1):28-38
[110] Kwok, Y. K., Wu, L. X. Effects of callable feature on early exercise policy. Reviewof Derivatives Research,2000,4(2):189-211
[111] Kyle, A. Continuous auctions and insider trading. Econometrica,1985,53(6):1315-1335
[112] Lando, D. On cox processes and credit risky securities. Review of DerivativesResearch,1998,2-3:99-120
[113] Lando, D. Credit risk modeling. Princeton University Press, Princeton, NJ,2004
[114] Landskroner, Y. Pricing inflation-indexed convertible bonds with credit risk.Hebrew University of Jerusalem, Israel,2002, working paper
[115] Lau, K. W., Kwok, Y. K. Anatomy of option features in convertible bonds. TheJournal of Futures Markets,2004,24(6):513-512
[116] Lewis, C. M. Convertible debt: Valuation and conversion in convertible capitalstructures. Journal of Banking and Finance,1991,15(3):665-682
[117] Liao, S. L., Huang, H. H. Valuation and optimal strategies of convertible bonds.Journal of Futures Markets,2006,26(9):895-922
[118] Limratanamongkol, P. Credit risk and liquidation cost: Effects on prices ofconvertible bonds, as well as conversion and call. Dissertation for Degree of Doctorof Philosophy, University of North Carolina,2000
[119] Loncarski, I., Horst. J. T., Veld, C. Why do companies issue convertible bond loans?An empirical analysis for the Canadian market. Canadian Journal of AdministrativeSciences,2008,25(3):214-236
[120] Loncarski, I., Horst, J. T., Veld, C. The rise and demise of the convertible arbitragestrategy. Financial Analysts Journal,2009,65(5):1-16
[121] Longstaff, F. A. Option pricing and the martingale restriction. Review of FinancialStudies,1995,8(4):1091-1124
[122] Longstaff, F. A., Schwartz, E. S. Interest rate volatility and the term structure: A twofactor general equilibrium model. Journal of Finance,1992,47(4):1259-1282
[123] Margrabe, W. The value of an option to exchange one asset for another. Journal ofFinance,1978,33(1):177-186
[124] Markolefas, S. Standard Galerkin formulation with high order Lagrange finiteelements for option markets pricing. Applied Mathematics and Computation,2008,195(2):707-720
[125] Mauer, D. C. Optimal bond call policies under transaction costs. The Journal ofFinancial Research,1993,16(1):23-37
[126] Mazzeo, M. A., Moore, W. T. Liquidity costs and stock price response to convertiblesecurity calls. Journal of Business,1992,65(3):353-369
[127] McConnell, J. J., Schwartz, E. S. LYON taming. Journal of Finance,1986,41(3):561-576
[128] Merton, R. C. On the pricing of corporate debt: The risk structure of interest rates.Journal of Finance,1974,29(2):449-470
[129] Myers, S. C., Majluf, N. S. Corporate financing and investment decisions whenfirms have information that investors do not have. Journal of Financial Economics,1984,13(2):187-221
[130] Ofer, A. R., Natarajan, A. Convertible call policies: An empirical analysis of aninformation-signaling hypothesis. Journal of Financial Economics,1987,19(1):91-108
[131] Rebonato, R. Interest rate option models. Wiley, New York,1998
[132] Roon, F., Veld, C. Announcement effects of convertible bond loans andwarrant-bond loans: an empirical analysis for the Dutch market. Journal BankingFinance,1998,22(12):1481-1506
[133] Rosenberg, J. V. Nonparametric pricing of multivariate contingent claims. Journal ofDerivatives,2003,10(3):9-26
[134] Rosenberg, J. V. Semi parametric pricing of multivariate contingent claims. SternSchool of Business, New York University, New York,1999, working paper S-99–35
[135] Scheinkman, J., Xiong, W. Overconfidence and speculative bubbles. Journal ofPolitical Economy,2003,111(6):1183-1219
[136] Seko S., Sawaki, K. The valuation of callable contingent claims. Presented at the3rd World Congress, Bachelier Finance Society,2004
[137] Shimko, D. C. Bounds of probability. Risk,1993,6:33-37
[138] Sirbu, M., Shreve, S. E., A two-person game for pricing convertible bonds. SIAMJournal on Control and Optimization,2006,45(4):1508-1519
[139] Smith, C. W. Investment banking and the capital acquisition process. Journal ofFinancial Economics,1986,15(1-2):3-29
[140] Stein, J. C. Convertible bonds as backdoor equity financing. Journal of FinancialEconomic,1992,32(1):3-21
[141] Szymanowska, M., Horst, J. T., Veld, C. Reverse convertible bonds analyzed. TheJournal of Futures Markets,2009,29(10):895-919
[142] Takahashi, A., Kobayashi, T., Nakagawa, N. Pricing convertible bonds with creditrisk: A duffie-singleton approach. Faculty of Economics, University of Tokyo,2001,working paper
[143] Tsiveriotis, K., Fernandes, C. Valuing convertible bonds with credit risk, Journal ofFixed Income,1998,8(3):95-102
[144] Wilmott, P. Derivatives: The theory and practice of financial engineering. Wiley,New York,1998
[145] Xiong, W., Scheinkman J. Overconfidence and speculative bubbles. Journal ofPolitical Economy,2003,111(6):1183-1219
[146] Yagi, K., Sawaki, K. The valuation of callable convertible bonds with call noticeperiods.2005, working paper
[147] Yang, J. Y., Choi, Y., Li, S. H., et al. Anote on “Monte Carlo analysis of convertiblebonds with reset clause”. European Journal of Operational Research,2010,200:924-925
[148] Yigitbasioglu, A. B. Pricing convertible bonds with interest rate, equity, credit andFX risk. ISMA Centre Discussion Papers in Finance, University of Reading,2001,working paper
[149] Yigitbasioglu, A. B., Alexander, C. An uncertain volatility explanation for delayedcalls of convertible bonds.2005, working paper
[150] Ziegler A. A game theory analysis of options–contributions to the theory offinancial intermediation in continuous time. Verlag: Springer,1999.1~10
[151]陈国进,张贻军.异质信念、买空限制与我国股市的暴跌现象研究.金融研究,2009,4:80-91
[152]程功,张维,熊熊.信息噪音、结构化模型与银行违约概率度量.管理科学学报,2007,10(4):38-48
[153]龚利,郭菊娥,张国兴.可进入与退出的不对称双寡头投资博弈模型.中国管理科学,2010,18(1):52-57
[154]龚朴,蒙坚玲.基于期权博弈的可转换债券最优策略分析.管理工程学报,2009,23(1):70-75
[155]龚朴,赵海滨,司继文.可转换债券定价的有限元方法.数量经济技术经济研究,2004,2:104-110
[156]何志伟.复合期权与路径相关期权定价理论模型、数值模拟及应用研究.华中科技大学博士学位论文,2005
[157]何志伟,龚朴.可转换公司债券的巴黎期权特征.管理学报,2005,2(2):229-234
[158]赖其男,姚长辉,王志诚.关于我国可转换债券定价的实证研究.金融研究,2005,9:105-121
[159]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.管理评论,2011,23(12):26-31
[160]李心丹,王冀宁,傅浩,中国个体证券投资者交易行为的实证研究.经济研究,2005,11:54-62
[161]刘成彦,王其文.中国上市公司可转换债券发行的公告效应研究.经济科学,2005,4:99-108
[162]刘娥平.中国上市公司可转换债券发行公告财富效应的实证研究.金融研究,2005,7:45-56
[163]刘舒娜,陈收,徐颖文.可转换债券发行动因及股价效应研究.系统工程,2006,24(1):62-69
[164]刘彦文,管玲芳.基于期权博弈的商业银行贷款定价模型.统计与决策,2009,2:62-63
[165]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.系统工程,2004,22(8):69-73
[166]宋逢明.金融工程原理.北京:清华大学出版社,1999
[167]谭英双,龙勇,陈哲.模糊环境下技术创新投资的期权博弈模型.系统工程理论与实践,2011,31(11):2095-2100
[168]王承炜,吴冲锋.上市公司可转换债券价值分析.系统工程,2001,19(4):25-29
[169]吴斌,徐小新,何建敏.双边道德风险与风险投资企业可转换债券设计.管理科学学报,2012,15(1):11-21
[170]薛明皋,龚朴.具有专利的R&D项目实物期权评价.管理科学学报,2006,9(3):39-67
[171]张圣平.偏好、信念、信息与证券价格.上海人民出版社,2002.
[172]张维,张永杰.异质信念、卖空限制与风险资产价格.管理科学学报,2006,9(4):58-64
[173]张维,李根,熊熊,韦立坚等.资产价格泡沫研究综述:基于行为金融和计算实验方法的视角.金融研究,2009,8:182-193
[174]张卫国,史庆盛,许文坤.基于全最小二乘拟蒙特卡罗方法的可转债定价研究.管理科学,2011,24(1):82-89
[175]张峥,唐国正,刘力.投资者群体差异与可转换债券折价—中国市场的实证分析.金融研究,2006,11:1-16
[176]赵俊强,韩林,李湛.信用风险转移与银行表现——基于美国信用衍生品交易市场面板数据的实证研究,金融研究,2005(5):147-159
[177]赵帅特.基于计算实验金融的典型股票收益异象定价研究:[博士学位论文].天津:天津大学,2008
[178]郑振龙,康朝锋.可转换债券时间价值的理论与实证分析.厦门大学学报(哲学社会科学版):2006,1:110-117
[179]郑振龙,林海.可转换债券发行公司的最优策略.财经问题研究,2004,11:35-39
[180]周其源,吴冲锋,刘海龙.可赎回可转换贴现债券完全拆解定价法.管理科学学报,2009,4:135-144
[181]朱宝军,吴冲锋,异质投资者与资产定价:一个新的资本资产定价模型.数量经济与技术经济研究,2005,6:154-161
[182]朱艳芳,张维.基于风险价格均衡的可转换债券定价模型及实证研究.天津大学学报（社会科学版）,2011,13(6):493-497
[2] Ait-Sahalia, Y., Lo, A. W. Nonparametric estimation of state price densities implicitin financial asset prices. Journal of Finance,1998,53(2):499-547
[3] Altintig, Z. A., Butler, A. W. Are they still called late? The effect of notice period oncalls of convertible bonds. Journal of Corporate Finance,2005,11(1-2):337-350
[4] Amihud, Y. Illiquidity and stock returns: cross-section and time series effects.Journal of Financial Markets,2002,5(1):31-56
[5] Ammann, M., Kind, A., Wilde, C. Are convertible bonds underpriced? An analysisof the french market. Journal of Banking and Finance,2003,27(4):12-27
[6] Ammann, M., Fehr, M., Seiz, R. New evidence on the announcement effect ofconvertible and exchangeable bonds. Journal of Multinational financial management,2006,16(1):16:43-63
[7] Ammann, M., Kind, A., Wilde, C. Simulation-based pricing of convertible bonds.Journal of Empirical Finance,2008,15(2):310-331
[8] Ammann, M., Kind, A., Seiz, R. What drives the performance of convertible-bondfunds? Journal of Banking and Finance,2010,34(11):2600-2613
[9] Arshanapalli, B., Fabozzi, F. J., Switzer, et al. New evidence on the market impactof convertible bond issues in the U. S. Finance Letters,2005,3(3):1-6
[10] Artzner, G. J., Stover, R. D. The Effect of Forced Conversions on Common StockPrices. Financial Management,1989,9(1):39-45
[11] Asquith, P., Mullins, D. W. Convertible debt: corporate call policy and voluntaryconversion. Journal of Finance,1991,46(4):1273-1289
[12] Asquith, P. Convertible bonds are not called late. Journal of Finance,1995,50(4):1275-1289
[13] Ayache, E., Forsyth, P., Vetzal, K. Valuation of convertible bonds with credit risk.Journal of Derivatives,2003,11(1):9-29
[14] Barberis, N., Thaler, R. A survey of behavioral finance. Handbook of the Economicsof Finance, Chapter2003,18:1051-1128
[15] Bardhan, I., Bergier, A., Derman, E. Valuing convertible bonds as derivatives.Goldman Sachs Quantitative Strategies Research Notes,1994, July
[16] Barone-Adesi, G., Bermudez, A., Hatgioannides, J. Two-factor convertible bondsvaluation using the method of characteristics/finite elements. Journal of EconomicDynamics and Control,2003,27(10):1801-1831
[17] Basak S. A model of dynamic equilibrium asset pricing with heterogeneous beliefsand extraneous risk. Journal of Economic Dynamics and Control,2000,24(1):63-95
[18] Bechmann, K. L. Short sales, price pressure, and the stock price response toconvertible bond calls. Journal of Financial Markets,2004,7(4):427-451
[19] Bermudez, A., Webber, N. An asset based model of defaultable convertible bondswith endogenous recovery.2004, working paper
[20] Beveridge, C., Joshi, M. Monte Carlo bounds for game options includingconvertible bonds. Management Science,2011,57(5):960-974
[21] Bielecki, T. R., Crépey, S., Jeanblanc, M., et al. Arbitrage pricing of defaultablegame options with applications to convertible securities. Quantitative Finance,2008,8(8):795-810
[22] Bielecki, T. R., Crépey, S., Jeanblanc, M., et al. Convertible bonds in a defaultablediffusion model,2009, Working paper
[23] Black, F. Noise. Journal of Finance,1986,41(3):529-543
[24] Black, F., Derman, E., Toy, B. A one factor model of interest rates and itsapplication to Treasury bond options. Financial Analyst Journal,1990,46(1):33-39
[25] Black, F., Scholes, M. The pricing of options and corporate liabilities. Journal ofPolitical Economy,1973,81(3):637-654
[26] Blazenko, G. W. Managerial preferences, asymmetric information, and financialstructure. Journal of Finance,1987,42(4):839-862
[27] Boris, A., Dwight, M. J., Alexei, T. Contingent convertible bonds and capitalstructure decisions,2010, Working Paper
[28] Brennan, M. J, Schwartz, E. S. Convertible bonds: Valuation and optimal strategiesfor call and conversion. Journal of Finance,1977,32(5):66-86
[29] Brennan, M. J., Schwartz, E. S. A continuous time approach to pricing bonds.Journal of Banking and Finance,1979,3(2):133-155
[30] Brennan, M. J., Schwartz E. S. Analyzing convertible bonds. Journal of Financialand Quantitative Analysis,1980,15(4):22-74
[31] Brick, I. E., Palmon, O., Patro, D. K. Stock price response to calls of convertiblebonds: still a puzzle? Financial Management,2007,36(2):65-85
[32] Buchan, M. J. Convertible bond pricing: Theory and evidence. Dissertation,Harvard University,1997, unpublished
[33] Buchan, M. J. The pricing of convertible bonds with stochastic term structures andcorporate default risk. Amos Tuck School of Business, Dartmouth College,1998,working paper
[34] Buetow, G. W., Buell, S. G. An alternative call policy convertible debt. Journal ofFinancial and strategic decisions,1995,8(3):27-41
[35] Bühler W., Koziol C. Calling convertible bonds too late can be rational. EFA2004Maastricht Meetings Paper No.4355,2004
[36] Butler, A. W. Revisting optimal call policy for convertible. Financial AnalystJournal,2002,58(1):50-55
[37] Buraschi, A., Alexei, J. Model uncertainty and option markets with heterogeneousbeliefs. Journal of Finance,2006,61(6):2841-2897
[38] Burlacu, R. New evidence on the pecking order hypothesis: the case of Frenchconvertible bonds. Journal of Multinational Financial Management,2000,10(3-4):439-459
[39] Byrd, A. K., Moore, W. T. On the information content of calls of convertiblesecurities. Journal of Business,1996,69(1):89-101
[40] Campbell, C. J., Ederington, L. H., Vankudre, P. Tax shields, sample-selection bias,and the information content of conversion-forcing bond calls. Journal of Finance,1991,46(4):1291-1324
[41] Campbell, J. Y. Asset pricing at the millennium. Journal of Finance,2000,55(4):1515-1567
[42] Carayannopoulos, P. Valuing convertible bonds under the assumption of stochasticinterest rates: An empirical investigation. Quarterly Journal of Business andEconomics,1996,35(3):125-143
[43] Chan, A. W. H., Chen, N. F. Convertible bond under-pricing: renegotiable covenants,seasoning, and convergence. Management Science,2007,53(11):1793-1814
[44] Cheng, W., Visaltanachoti, N., Kesayan, P. A stock market reaction followingconvertible bond issuance: evidence from Japan. International Journal of Business,2005,10(4):323-340
[45] Choi, D., Getmansky, M., Tookes, H. Convertible bond arbitrage, liquidityexternalities, and stock prices. Journal of Financial Economics,2009,91(2):227-251
[46] Choi, D., Getmansky, M., Henderson, B., et al. Convertible bond arbitrageurs assuppliers of capital. Review of Financial Studies,2010,23(6):2492-2522
[47] Christoph, K., Kees, V. S. Perpetual convertible bonds with credit risk. Stochastics:An International Journal of Probability and Stochastic Processes,2008,80(6):585-610
[48] Constantinides, G. M. Warrant exercise and bond conversion in competitive markets.Journal of Economic Theory,1984,13(3):371-397
[49] Constantinides, G., Grundy, B. D. Call and conversion of convertible corporatebonds: Theory and evidence. Proceedings, Seminar on the Analysis of SecurityPrices, CRSP, Graduate School of Business, University of Chicago,1986:35-69
[50] Cowan, A. R. Non-parametric event study tests. Review of Quantitative Finance andAccounting,1992,2:343-358
[51] Cowan, A. R., Nayar, N., Singh, A. K. Underwriting and calls of convertible bonds.Decision Sciences,2000,31(1):57-77
[52] Cox, J. C., Ingersoll, J. E., Ross, S. A. A theory of term structure of interest rate.Econometrical,1985,53(2):385-407
[53] Cox, J. C., Ross, S. A., Rubinstein, M. Option pricing: A simplified approach.Journal of Financial Economics,1979,7(3):458-472
[54] Dai, M., Kwok, Y. K. Optimal policies of call with notice period requirement.Asia-Pacific Financial Markets,2006,12(4):351-373
[55] Davis, M., Lishka, F. R. Convertible bond with market risk and credit risk.Tokyo-Mitsubishi International plc,1999, working paper
[56] DeLong, B., Shleifer, A., Lawrence, S., et al. Noise trader risk in financial markets.Journal of Political Economy,1990(a):98(4):703-738
[57] DeLong, B., Shleifer, A., Lawrence, S., et al. Positive feedback investmentstrategies and destabilizing rational speculation. Journal of Finance,1990(b):45(2):379-395
[58] Derman, E., Kani, I. Riding on a smile. Risk,1994,7:32-38
[59] Domian, D. L., Reichenstein, W. Return-based styled analysis of convertible bondfunds. The journal of Fixed Income,2009,18(3):52-64
[60] Duan, J. C. The GARCH option pricing model. Mathematic Finance,1995,5(1):13-32
[61] Duca, E., Dutordoir, M., Veld, C., et al. Why are convertible bond announcementsassociated with increasingly nagetive issuer stock returns? An arbitrage-basedexplanation. Journal of Banking and Finance,2012,36(11):2884-2899
[62] Duffie, D., Singleton, K. Modeling Term Structure of Defaultable Bonds. Review ofFinancial Studies,1999,12(4):687-720
[63] Dumas B, Kurshev A, Uppal R. Equilibrium portfolio strategies in the presence ofsentiment risk and excess volatility. Journal of Finance,2009,64(2):579-629
[64] Dutordoir, M., Gucht, L. V. Are there windows of opportunity for convertible debtissuance? Evidence for Western Europe. Journal of Banking and Finance,2007,31(9):2828-2846
[65] Ederington, L. H., Goh, J. C. Is convertible bond call really bad news? Journal ofBusiness,2001,74(3):459-476
[66] Egami, M. A game options approach to the investment problem with convertibledebt financing. Journal of Economic Dynamics&Control,2010(34):1456-1470
[67] Ekkaryokkaya, P. Why are convertible bonds called late: Is it a notice period or therisk of financial distress? Working Paper,2010
[68] Emanuel, D. C. Warrant valuation and exercise strategy. Journal of FinancialEconomics,1983,12(2):211-235
[69] Epstein, D., Haber, R., Wilmott, R. Pricing and hedging convertible bonds undernon-probabilistic. Journal of Derivatives,2000,7(4):31-40
[70] Ewing, R. E., Wang, H. A summary of numerical methods for time-dependentadvection-dominated partial differential equations. Journal of Computational andApplied Mathematics,2001,128(1-2):423–445
[71] Fields, L. P., Mais, E., William, T. M. Conversion-forcing security calls: wealthtransfers revisited. International Review of Economics and Finance,1995,4(1):17-27
[72] Foufas, G., Larson, M. G. Valuing Asian options using the finite element method andduality techniques. Journal of Computational and Applied Mathematics,2008,222(1):144-158
[73] Friedman, A. Stochastic differential equations and applications. Probability andMathematical Statistics, Academic Press, New York,1975
[74] Gallmeyer, M., Hollifield, B. An examination of heterogeneous beliefs with a shortsale constraint. Review of Finance,2008,12(2):323-364
[75] Gong, P., He, Z. W., Zhu, S. P. Pricing convertible bonds based on a multi-stagecompound-option model. Physica A: Statistical Mechanics and its Applications,2006,366(1):449-462
[76] Grant, D., Vora, G., Weeks, D. Path-dependent options: Extending the Monte Carlosimulation approach. Management Science,1997,43(11):1589-1602
[77] Grau, A. J., Forsyth, P. A., Vetzal, K. R. Convertible bonds with call notice periods.2003, working paper
[78] Harris, M., Raviv, A. A sequent signaling model of convertible debt call policy.Journal of Finance,1985,40(5):1263-1281
[79] Hennessy, C. A., Tserlukevich, Y. Taxation, agency conflicts, and the choicebetween callable and convertible debt. Journal of Economic Theory,2008,143(1):374-404
[80] Ho, T. S. Y., Lee, S. B. Term structure movements and pricing interest ratecontingent claims. Journal of Finance,1986,41(5):1011-1029
[81] Hull, J. Options, futures and other derivatives (Fourth Edition): Prentice Hall, Inc.2000
[82] Hull, J., White, A. Pricing interest rate derivative securities. Review of FinancialStudies,1990,3(4):573-592
[83] Hull, J., White, A. The general Hull-White model and super calibration. FinancialAnalysts Journal,2001,57(6):789-812
[84] Hung, M. W., Wang, J. Y. Pricing convertible bonds subject to default risk. TheJournal of Derivatives,2002,10(2):75-87
[85] Ingersoll, J. E. A contingent-claims valuation of convertible securities. Journal ofFinancial Economics,1977a,4(2):156-168
[86] Ingersoll, J. E. An examination of corporate call policies on convertible securities.Journal of Finance,1977b,32(2):463-478
[87] Jaffee D., Shleifer A. Costs of financial distress, delayed calls of convertible bonds,and the role of investment banks. Journal of Business,1990,63(1):107-123
[88] Jalan, P., Barone-Adesin, G. Equity financing and corporate convertible bond policy.Journal of Banking and Finance,1995,19(2):187-206
[89] Jamshidian, F. An exact bond option pricing formula. Journal of Finance,1989,44(1):205-209
[90] Jarrow, R. Options on commodities under stochastic interest rates. Advances inFutures and Options Research,1987,2:19-45
[91] Jarrow, R. A., Turnbull, S. M. Pricing derivatives on financial securities subject tocredit risk. Journal of Finance,1995,50(1):200-236
[92] Johnson, H. Options on the maximum or minimum of several assets. Journal ofFinancial and Quantitative Analysis,1987,22(3):277-283
[93] Kahneman, D., Tversky, A. Prospect theory: An analysis of decision under risk.Econometrica,1979,47(2):263-292
[94] Kallsen, J., Kühn, C. Convertible bonds: financial derivatives of game type.2005,working paper
[95] Kang, J. K., Stulz, R. M. How different is Japanese corporate finance? Aninvestigation of the information content of new security issues. Review of FinancialStudies,1996,9(1):109-139
[96] Karatzas, J., Kou, S. G. Hedging American contingent claims with constrainedportfolios. Finance and Stochastic,1998,2(3):215-258
[97] Kariya, T., Tsuda, H. Time dependent markov model for pricing convertible bonds.Asian-Pacific Financial Markets,2000,7(3):79-98
[98] Kifer, Y. Game options. Finance and Stochastics,2000,4(4):443-463
[99] Kim, Y. O., Kallberg, J. Convertible calls and corporate taxes under asymmetricinformation. Journal of Banking and Finance,1998,22(1):19-40
[100] Kimura, T., Shinohara, T. Monte Carlo analysis of convertible bonds with resetclauses. European Journal of Operational Research,2006,168:301-310
[101] King, R. Convertible bond valuation: An empirical test. Journal of FinancialResearch,1986,9(1):458-478
[102] King, R. D., Mauer, D. C. Corporate call policy for noncovertible bonds. Journal ofBusiness,2000,73(3):403-444
[103] King, R. D., Mauer, D. C. Determinants of corporate call policy for convertiblebonds. Working Paper,2012
[104] Kogan, L., Ross, S., Wang, J., et al. The price impact and survival of irrationaltraders. Journal of Finance,2006,61(1):195-229
[105] Kovalov, P., Linetsky, V. Valuing convertible bonds with stock price, volatility,interest rate, and default risk. Working Paper, Available at SSRN: http://ssrn. com/abstract=1113385,2008
[106] Koziol, C. Optimal exercise strategies for corporate warrants. Quantitative Finance,2006,6(1):37-54
[107] Kuhlman, R. B., Radcliffe, C. R. Factors affecting the equity price impacts ofconvertible bonds. Journal of Applied Business Research,1992,8(4):798-823
[108] Kühn, C. Game contingent claims in complete and incomplete markets.2002,working paper
[109] Kwok, Y. K., Lau, K. W. Pricing algorithms for options with exotic path dependence.Journal of Derivatives,2001,9(1):28-38
[110] Kwok, Y. K., Wu, L. X. Effects of callable feature on early exercise policy. Reviewof Derivatives Research,2000,4(2):189-211
[111] Kyle, A. Continuous auctions and insider trading. Econometrica,1985,53(6):1315-1335
[112] Lando, D. On cox processes and credit risky securities. Review of DerivativesResearch,1998,2-3:99-120
[113] Lando, D. Credit risk modeling. Princeton University Press, Princeton, NJ,2004
[114] Landskroner, Y. Pricing inflation-indexed convertible bonds with credit risk.Hebrew University of Jerusalem, Israel,2002, working paper
[115] Lau, K. W., Kwok, Y. K. Anatomy of option features in convertible bonds. TheJournal of Futures Markets,2004,24(6):513-512
[116] Lewis, C. M. Convertible debt: Valuation and conversion in convertible capitalstructures. Journal of Banking and Finance,1991,15(3):665-682
[117] Liao, S. L., Huang, H. H. Valuation and optimal strategies of convertible bonds.Journal of Futures Markets,2006,26(9):895-922
[118] Limratanamongkol, P. Credit risk and liquidation cost: Effects on prices ofconvertible bonds, as well as conversion and call. Dissertation for Degree of Doctorof Philosophy, University of North Carolina,2000
[119] Loncarski, I., Horst. J. T., Veld, C. Why do companies issue convertible bond loans?An empirical analysis for the Canadian market. Canadian Journal of AdministrativeSciences,2008,25(3):214-236
[120] Loncarski, I., Horst, J. T., Veld, C. The rise and demise of the convertible arbitragestrategy. Financial Analysts Journal,2009,65(5):1-16
[121] Longstaff, F. A. Option pricing and the martingale restriction. Review of FinancialStudies,1995,8(4):1091-1124
[122] Longstaff, F. A., Schwartz, E. S. Interest rate volatility and the term structure: A twofactor general equilibrium model. Journal of Finance,1992,47(4):1259-1282
[123] Margrabe, W. The value of an option to exchange one asset for another. Journal ofFinance,1978,33(1):177-186
[124] Markolefas, S. Standard Galerkin formulation with high order Lagrange finiteelements for option markets pricing. Applied Mathematics and Computation,2008,195(2):707-720
[125] Mauer, D. C. Optimal bond call policies under transaction costs. The Journal ofFinancial Research,1993,16(1):23-37
[126] Mazzeo, M. A., Moore, W. T. Liquidity costs and stock price response to convertiblesecurity calls. Journal of Business,1992,65(3):353-369
[127] McConnell, J. J., Schwartz, E. S. LYON taming. Journal of Finance,1986,41(3):561-576
[128] Merton, R. C. On the pricing of corporate debt: The risk structure of interest rates.Journal of Finance,1974,29(2):449-470
[129] Myers, S. C., Majluf, N. S. Corporate financing and investment decisions whenfirms have information that investors do not have. Journal of Financial Economics,1984,13(2):187-221
[130] Ofer, A. R., Natarajan, A. Convertible call policies: An empirical analysis of aninformation-signaling hypothesis. Journal of Financial Economics,1987,19(1):91-108
[131] Rebonato, R. Interest rate option models. Wiley, New York,1998
[132] Roon, F., Veld, C. Announcement effects of convertible bond loans andwarrant-bond loans: an empirical analysis for the Dutch market. Journal BankingFinance,1998,22(12):1481-1506
[133] Rosenberg, J. V. Nonparametric pricing of multivariate contingent claims. Journal ofDerivatives,2003,10(3):9-26
[134] Rosenberg, J. V. Semi parametric pricing of multivariate contingent claims. SternSchool of Business, New York University, New York,1999, working paper S-99–35
[135] Scheinkman, J., Xiong, W. Overconfidence and speculative bubbles. Journal ofPolitical Economy,2003,111(6):1183-1219
[136] Seko S., Sawaki, K. The valuation of callable contingent claims. Presented at the3rd World Congress, Bachelier Finance Society,2004
[137] Shimko, D. C. Bounds of probability. Risk,1993,6:33-37
[138] Sirbu, M., Shreve, S. E., A two-person game for pricing convertible bonds. SIAMJournal on Control and Optimization,2006,45(4):1508-1519
[139] Smith, C. W. Investment banking and the capital acquisition process. Journal ofFinancial Economics,1986,15(1-2):3-29
[140] Stein, J. C. Convertible bonds as backdoor equity financing. Journal of FinancialEconomic,1992,32(1):3-21
[141] Szymanowska, M., Horst, J. T., Veld, C. Reverse convertible bonds analyzed. TheJournal of Futures Markets,2009,29(10):895-919
[142] Takahashi, A., Kobayashi, T., Nakagawa, N. Pricing convertible bonds with creditrisk: A duffie-singleton approach. Faculty of Economics, University of Tokyo,2001,working paper
[143] Tsiveriotis, K., Fernandes, C. Valuing convertible bonds with credit risk, Journal ofFixed Income,1998,8(3):95-102
[144] Wilmott, P. Derivatives: The theory and practice of financial engineering. Wiley,New York,1998
[145] Xiong, W., Scheinkman J. Overconfidence and speculative bubbles. Journal ofPolitical Economy,2003,111(6):1183-1219
[146] Yagi, K., Sawaki, K. The valuation of callable convertible bonds with call noticeperiods.2005, working paper
[147] Yang, J. Y., Choi, Y., Li, S. H., et al. Anote on “Monte Carlo analysis of convertiblebonds with reset clause”. European Journal of Operational Research,2010,200:924-925
[148] Yigitbasioglu, A. B. Pricing convertible bonds with interest rate, equity, credit andFX risk. ISMA Centre Discussion Papers in Finance, University of Reading,2001,working paper
[149] Yigitbasioglu, A. B., Alexander, C. An uncertain volatility explanation for delayedcalls of convertible bonds.2005, working paper
[150] Ziegler A. A game theory analysis of options–contributions to the theory offinancial intermediation in continuous time. Verlag: Springer,1999.1~10
[151]陈国进,张贻军.异质信念、买空限制与我国股市的暴跌现象研究.金融研究,2009,4:80-91
[152]程功,张维,熊熊.信息噪音、结构化模型与银行违约概率度量.管理科学学报,2007,10(4):38-48
[153]龚利,郭菊娥,张国兴.可进入与退出的不对称双寡头投资博弈模型.中国管理科学,2010,18(1):52-57
[154]龚朴,蒙坚玲.基于期权博弈的可转换债券最优策略分析.管理工程学报,2009,23(1):70-75
[155]龚朴,赵海滨,司继文.可转换债券定价的有限元方法.数量经济技术经济研究,2004,2:104-110
[156]何志伟.复合期权与路径相关期权定价理论模型、数值模拟及应用研究.华中科技大学博士学位论文,2005
[157]何志伟,龚朴.可转换公司债券的巴黎期权特征.管理学报,2005,2(2):229-234
[158]赖其男,姚长辉,王志诚.关于我国可转换债券定价的实证研究.金融研究,2005,9:105-121
[159]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.管理评论,2011,23(12):26-31
[160]李心丹,王冀宁,傅浩,中国个体证券投资者交易行为的实证研究.经济研究,2005,11:54-62
[161]刘成彦,王其文.中国上市公司可转换债券发行的公告效应研究.经济科学,2005,4:99-108
[162]刘娥平.中国上市公司可转换债券发行公告财富效应的实证研究.金融研究,2005,7:45-56
[163]刘舒娜,陈收,徐颖文.可转换债券发行动因及股价效应研究.系统工程,2006,24(1):62-69
[164]刘彦文,管玲芳.基于期权博弈的商业银行贷款定价模型.统计与决策,2009,2:62-63
[165]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.系统工程,2004,22(8):69-73
[166]宋逢明.金融工程原理.北京:清华大学出版社,1999
[167]谭英双,龙勇,陈哲.模糊环境下技术创新投资的期权博弈模型.系统工程理论与实践,2011,31(11):2095-2100
[168]王承炜,吴冲锋.上市公司可转换债券价值分析.系统工程,2001,19(4):25-29
[169]吴斌,徐小新,何建敏.双边道德风险与风险投资企业可转换债券设计.管理科学学报,2012,15(1):11-21
[170]薛明皋,龚朴.具有专利的R&D项目实物期权评价.管理科学学报,2006,9(3):39-67
[171]张圣平.偏好、信念、信息与证券价格.上海人民出版社,2002.
[172]张维,张永杰.异质信念、卖空限制与风险资产价格.管理科学学报,2006,9(4):58-64
[173]张维,李根,熊熊,韦立坚等.资产价格泡沫研究综述:基于行为金融和计算实验方法的视角.金融研究,2009,8:182-193
[174]张卫国,史庆盛,许文坤.基于全最小二乘拟蒙特卡罗方法的可转债定价研究.管理科学,2011,24(1):82-89
[175]张峥,唐国正,刘力.投资者群体差异与可转换债券折价—中国市场的实证分析.金融研究,2006,11:1-16
[176]赵俊强,韩林,李湛.信用风险转移与银行表现——基于美国信用衍生品交易市场面板数据的实证研究,金融研究,2005(5):147-159
[177]赵帅特.基于计算实验金融的典型股票收益异象定价研究:[博士学位论文].天津:天津大学,2008
[178]郑振龙,康朝锋.可转换债券时间价值的理论与实证分析.厦门大学学报(哲学社会科学版):2006,1:110-117
[179]郑振龙,林海.可转换债券发行公司的最优策略.财经问题研究,2004,11:35-39
[180]周其源,吴冲锋,刘海龙.可赎回可转换贴现债券完全拆解定价法.管理科学学报,2009,4:135-144
[181]朱宝军,吴冲锋,异质投资者与资产定价:一个新的资本资产定价模型.数量经济与技术经济研究,2005,6:154-161
[182]朱艳芳,张维.基于风险价格均衡的可转换债券定价模型及实证研究.天津大学学报（社会科学版）,2011,13(6):493-497