可转换债券转换比率模型  

Conversion ratio model of the convertible bond

作　　者：孟卫东[1] 漆晓均[1] 王蕾[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《重庆大学学报（自然科学版）》2004年第8期139-141,155,共4页Journal of Chongqing University

摘　　要：将可转换债券看作内嵌期权和内含债券的组合物,从投资者一般投资心理考虑问题,即投资者是否投资取决于投资收益率大于其事先设定的投资收益率底线的可能性,得到可转换债券转换比率模型。通过模型的解发现:可转换债券转换比率仅仅与可转换债券内嵌期权和内含债券两者收益率均值、方差以及两者的相关系数有关,转换比率是内生变量。模型提供了客观确定可转换债券转换比率的方法和理论指导。In the field of convertible bond pricing, people think chronically that the conversion ratio of the convertible bond is exotic variable, which is the conversion ratio is given by issuer. We regard the convertible bond as the combination of the direct debt and the inline option. Based on the investor's consideration, that is whether the investor invest depends on the possibility of whether the ratio of the invest return is larger than the investor's perspective invest return ratio, we establish the model of conversion ratio. The conversion ratio is just associated with the mean and volatility of the direct debt's return ratio and the option's return ratio, and associated with correlation coefficient of return ratio of the direct debt and the option. The conversion ratio of the convertible bond is endogenetic variable。At the end, the model gives the method and the theory guidance of confirming the conversion ratio impersonaly.

关 键 词：可转换债券 转换比率 可转换债券定价 内嵌期权 内含债券 模型 

分 类 号：F830[经济管理—金融学]