中国可转债模糊定价及其算法研究  

Fuzzy pricing model of convertible bonds in China and its algorithm

作　　者：张卫国[1] 史庆盛[1] 肖炜麟[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《系统工程学报》2010年第2期241-245,276,共6页Journal of Systems Engineering

基　　金：教育部人文社会科学研究规划基金资助项目(07JA630048);教育部新世纪优秀人才支持计划资助项目(NCET-06-0749)

摘　　要：在Black-Scholes模型和国内传统债券定价模型的基础上,讨论了可转换债券的模糊定价问题.对于连续复利率、无风险利率、股票价格、股价波动率等均为模糊数的情况,给出了可转换债券的模糊定价模型和相应的算法.最后,对上海国际机场股份有限公司发行的可转换债券进行了实证研究,计算结果显示了该模糊定价模型在预测可转债市场价格方面的有效性.On the basis of the Black-Scholes model and the traditional bond pricing model the convertible bond fuzzy pricing problem is discussed. The fuzzy pricing formula for convertible bonds and its algorithm are given under the assumption that the risk-free interest rates, stock prices, stock price volatility are fuzzy numbers. The empirical results of Shanghai International Airport Corporation＇ s convertible bonds show that the fuzzy model presented in this paper is effiective in forecasting the convertible bond＇ s market price.

关 键 词：可转债定价 期权 Black—Scholes模型 模糊数 

分 类 号：F830.91[经济管理—金融学]