分离式可转换债券定价模型及实证分析  

Pricing Model and Empirical Analysis of Separated Convertible Bonds

作　　者：李少华[1] 杜鹏[1] 董力强[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《商业经济》2010年第16期80-83,共4页Business & Economy

基　　金：国家"九七三"重点基础研究发展计划资助项目(2007CB814903)

摘　　要：分离式可转换债券由于其转债与权证分离交易的特性,颇受企业与投资者的青睐,但权证部分并不能简单的看成标准欧式看涨期权,所以它的定价确实是较为棘手的问题。从BS模型出发,考虑稀释效应,通过不同的实施策略,对权证部分给出新的定价模型,并通过进一步分析发现当公司股票的市净率时,考虑了稀释效应后计算出的权证价格要比相应的欧式看涨期权价格低,这就是稀释因子的作用,当新增的股本越多,效果越明显。Due to the convertible and separated characteristics,the separated convertible bonds are at a premium in enterprise and investors.The warrant,however,can not be simply defined as a standard European-style call option,so its pricing becomes a tough issue.Based on BS model and dilution effect,this paper defines the warrant as new pricing model through different strategies,and finds out that when considering the dilution effect,the warrant price is lower than that of the European-style call option,which is an effect of dilution factor,viz.the more the new capital stocks are,the clearer the effect is.

关 键 词：分离式可转债 BS模型 稀释效应 认股权证 

分 类 号：F830.91[经济管理—金融学]