二叉树模型用于可转换公司债券定价  

Pricing of convertible bonds by binomial model

作　　者：朱莉 宁同科[2] 

机构地区：[1]上海理工大学理学院,上海200093 [2]上海交通大学安泰经济与管理学院,上海200052

出　　处：《上海理工大学学报》2008年第6期543-546,共4页Journal of University of Shanghai For Science and Technology

基　　金：上海市高校选拔培养优秀青年教师科研专项基金

摘　　要：可转换公司债券兼具债券、股票和期权3个方面的部分特征,再加上可转债的赎回条款和回售条款,使其定价更为复杂.利用二叉树模型,给出了附有赎回条款和回售条款的可转债的定价方法,分析了赎回条款和回售条款对可转债的影响.Convertible bonds poccess concurrently certain characteristics of bonds, stock and options, in additionto, owing to their callability and puttability, it is more complicated to price them. The pricing method of convertible bonds with consideration of callability and puttability was discussed by use of binomial model and the influence of callabity and puttability on convertible bonds was studied.

关 键 词：可转换公司债券 二叉树模型 风险中性概率 赎回条款 回售条款 

分 类 号：O29[理学—应用数学]