论文标题:一种双因素可转换债券定价模型研究
A Study on the Double-factors Pricing Modle of Convertible Bonds
论文作者 吴笑非
论文导师 刘思跃,论文学位 硕士,论文专业 金融学
论文单位 武汉大学,点击次数 93,论文页数 53页File Size1640k
2004-05-01论文网 http://www.lw23.com/lunwen_586917572/ 双因素;可转换;债券;定价方法;期权;利率期限结构
Double-factors;Convertible;Bond;Pricing model;Option;Term structure of interest rate
现代期权定价理论和利率期限理论是可转换债券定价的基石，本文在这些理论基础上，将企业市场价值波动和利率及其期限结构波动之间相关性作为风险因素，结合Ho-lee利率期限模型，提出了一种可转换债券无套利定价的双因素离散时间模型。通过研究它与连续时间模型之间的关系，证明了这一模型的合理性。并运用市场的实际数据对这一定价模型的连续形式做了经验检验，发现这一模型在不同的市场条件下，预测效果也不相同。本文的第一章主要阐述研究背景、研究目的和章节构架；第二章为文献综述，第一节主是要整理现代期权定价理论的主要框架，利率期限结构理论的主要框架和基于现代期权定价理论的可转换债券定价的主要文献内容，第二节论述这些理论对本文的作用，引出本文研究的方法，起点。第三章为本文研究的中心，第一节论述用于可转换债券定价的四个最经典的期权定价理论和方法，第二节建立随机利率条件下的定价模型，第三节用国内外几只可转换债券进行实证，检验模型的预测能力，分析误差产生的原因。第四章为结论与建议，整理研究结果，指出不足之处，对后续研究提出建议。
The theories of modern option pricing and term structure of interest rate are the basis of convertible bond pricing theory. With the theories and Ho-lee model, in consideration of volatility of both firm market value and term structure of interest rate as well as the correlation between them, this paper presents an arbitrage-free double-factors discrete time pricing model for convertible bond. Through research on relation with continuous time model the reasonableness of this model can be proved. This paper also does empirical tests on a kind of continuous time form of the convertible pricing model, and deduces that the model"s predicting ability changes in different market conditions. We illustrate background, purposes and frame of the research mainly in the first chapter. The content of the Second chapter is document summary. We demonstrate the major modern option pricing theories and term structure of interest rate theories and the convertible bond pricing theories in section 1 of the second chapter, discuss these theories" fundamental function for the paper in section 2, and then get research method of the paper. Chapter 3 is the center of the paper. We interpret four classical option pricing theories for convertible bond pricing theory. We make pricing model of convertible bond under the condition of stochastic interest rate in section 2.We do empirical test on the model with several convertible bonds, and then draw a conclusion and present suggestion for later research in chapter 4.
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