可赎回可转换贴现债券完全拆解定价法  

Analytic valuation of the callable convertible discount bonds:Equivalent decomposition method

作　　者：周其源[1,2] 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金融工程研究中心,上海200052 [2]太平洋资产管理有限公司,上海200120

出　　处：《管理科学学报》2009年第4期135-144,共10页Journal of Management Sciences in China

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,依据风险中性定价原理,采用完全拆解法,将可赎回可转换贴现债券完全拆解为以下5种简单证券的组合:一种与之对应的普通贴现债券,两种立即支付型规则美式二值买权、一种规则上敲出买权和一种延迟支付型规则美式二值买权,并据之推导出定价解析式.不仅为认知其价值组成提供了全新视角,而且相对现有数值定价法,该解析式大大提高定价效率.Under the Black-Scholes framework, according to the risk-neutral valuation principal, we present an equivalent decomposition method for the Callable Convertible Discount Bonds （ CCDB ）. Based on this method, we equivalently decompose one CCDB into the portfolio of five kinds of simple and tradable securities： two regular American Binary Calls with immediately-made fixed payments, one regular Up-and-Out Call, one regular American binary call with a fixed payment that is deferred until maturity, and one corresponding discount bond. Then, we work out the analytic valuation formula for CCDB. At the same time, we validate this valuation formula with Monte Carlo simulation. Compared with the existing numerical procedures, this method can not only give much new insight to the value composition of CCDB, but also greatly speed up the valuation of CCDB.

关 键 词：可赎回可转换贴现债券 完全拆解法 上敲出买权 美式二值买权 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]