可转换债券定价的三叉树方法  

Application of Trinomial Tree Model to the Pricing of Convertible Bond

作　　者：张江红[1] 杨善朝[2] 

机构地区：[1]咸阳师范学院数学系,陕西咸阳712000 [2]广西师范大学数科院,广西桂林541004

出　　处：《太原师范学院学报（自然科学版）》2007年第2期8-11,共4页Journal of Taiyuan Normal University:Natural Science Edition

基　　金：广西自然科学基金项目(04047033);咸阳师范学院专项科研基金项目(06XSYK251)

摘　　要：可转债是我国资本市场上的新型金融工具,因其独特的金融性质,受到越来越多投资者的关注和欢迎,对其定价理论的研究具有一定的理论和实际意义.文章采用三叉树方法,考虑了可转债的复杂条款以及发行者的违约风险,通过合理确定边界条件及其相关参数建立了可转债的三叉树定价模型,并以金牛、万科2只转债为例进行了实证分析.Convertible bond is new-types instrument on the capital market of our country, which receives more and more popularity among investors due to its unique financial characteristics,studies on its pricing theory also presents theoretical and practical significance. This paper adopts the trinomial tree method, which considers the complicated clauses and the issuer＇s credit risks at the same time, to get the convertible bond trinomial tree pricing model through confirming rationally the border conditions and relevant parameters, and utilizes this model to carry on the positive research to JinNiu and WanKe2 convertible bond.

关 键 词：可转换债券 赎回条款 回售条款 三叉树方法 

分 类 号：F830.9[经济管理—金融学]