有信用风险的可赎回可转换贴现债券完全拆解定价法  

Valuing the Callable Convertible Discount Bonds with Credit Risk:An Equivalent Decomposition Method

作　　者：周其源[1] 吴冲锋[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《上海交通大学学报》2008年第9期1541-1545,共5页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目(70671068)

摘　　要：在Black-Scholes期权模型假设框架下,采用全新的完全拆解法,将有信用风险的可赎回可转换贴现债券完全拆解为如下5种简单证券的组合:2种立即支付型规则美式二值买权、1种规则上敲出买权、1种延迟支付型规则美式二值买权和1种对应的有信用风险的普通贴现债券,并藉之推导出其定价解析式.相对现有数值定价法,该定价法不仅从崭新角度展示了其价值组成,而且大大提高了定价效率.In the Black-Seholes framework, by employing exotic options instead of plain options, this paper equivalently decomposed the callable convertible discount bonds （CCDB） with credit risk into the portfolio of five kinds of simple seeurities, two kinds of regular Ameriean binary calls with immediately-made fixed payments, one kind of regular up-and out calls, one kind of regular American binary calls with fixed payment deferred until maturity and one kind of corresponding discount bonds. Then, its analytic valuation formula was worked out. Compared with the existing numerical procedures, this method can not only give new insight of its value composition, but also greatly speed up its valuation.

关 键 词：可赎回可转换贴现债券 完全拆解法 信用风险 衍生证券定价 

分 类 号：F224[经济管理—国民经济] C931[经济管理—管理学]