转股价修正条款价值与可转债定价研究  

The Amendments of the Price of Convertible Stock and the Pricing of Convertible Bond

作　　者：王春发[1] 张庆华[1] 

机构地区：[1]浙江财经学院金融学院,浙江杭州310018

出　　处：《湖南财经高等专科学校学报》2009年第6期66-70,共5页Journal of Hunan Financial and Economic College

基　　金：国家自然科学基金"期权组合非线性VaR度量模型及数值方法研究"(编号:70771099(G0115))阶段成果之一

摘　　要：在研究可转债定价问题时考虑转股价修正条款是十分必要的。尤其是在2008年的熊市中,各可转债纷纷调低转股价,转股价修正条款给予投资者保护作用不容忽视。基于AFV模型,建立包含转股价修正条款的定价模型,并利用有限差分法求解转股价修正条款的价值。It is necessary to take the amendments of the price of convertible stock into consideration in studying the pricing of convertible bonds, especially when in the bear market in 2008 many convertible bonds lowered the price of convertible stock. So the amendments of the price of convertible stock can protect the rights of investors. Based on the AFV model, this paper establishes the pricing model and evaluates the amendments of the price of convertible stock by making use of finite difference method.

关 键 词：可转换债券 AFV模型 转股价修正条款 有限差分法 

分 类 号：F803.91[经济管理]