带重置条款的可转债定价模型及其实证研究  

Pricing Model and Empirical Research of Convertible Bonds with Reset Clauses

作　　者：熊思灿[1] 钱永江[2] 杨善朝[3] 

机构地区：[1]东华理工大学数学与信息科学学院,江西抚州344000 [2]毕节学院数学系,贵州毕节551700 [3]广西师范大学数学科学学院,广西桂林541004

出　　处：《数学的实践与认识》2010年第2期33-39,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(10161004);东华理工大学校长基金(DHXK0838)

摘　　要：给出了附有巴黎期权特性的重置条款的可转债定价模型,通过把实际交易日数作为时间变量的节点数,以及把实际股价作为股价变量的节点之一,建立不等间距立体网格,采用有限差分方法求解模型,得到了海化转债的价格路径.结果表明,理论价值较好地反映了市场价值的变化趋势,重置条款提高了可转债价值,这对可转债的投资决策具有重要意义.The pricing model of convertible bonds with reset clauses having the feature of Parisian Option is provided in this paper. Through taking the number of the actual trading day as the number of nodes of the time variable and taking the market price of the stock as one of the nodes of the stock price variable, the three-dimensional grid is established. Moreover, the finite difference method is adopted to solving the pricing model, and the path of the price of the convertible bonds issued by Shandong Haihua Co. Ltd. has been gained. Results show that the theoretical value based on the model reflects the trend of changes of the market price preferably, and the reset clauses increases the value of convertible bonds, which is important for the investment decision of Convertible bonds.

关 键 词：可转债 重置条款 有限差分法 

分 类 号：F224[经济管理—国民经济] F830.91