考虑支付红利的可转债模糊定价模型及其算法  

Fuzzy pricing model of convertible bonds with dividends payment 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,广州510640

出　　处：《管理科学学报》2010年第11期86-93,共8页Journal of Management Sciences in China

基　　金：教育部人文社会科学研究规划基金资助项目07JA630048);国家自然科学基金资助项目(70825005)

摘　　要：由于金融市场经常受到一些模糊不确定因素的影响,使得可转债定价具有模糊特征.本文研究了具有支付红利以及标的资产为美式期权的可转债模糊定价问题.在Black-Scholes模型的基础上,提出了该类型可转债的模糊定价模型,它推广了传统的具有确定参数值的可转债定价模型.为了方便估计可转债价值,给出了具有三角模糊数形式的可转债定价公式.最后,选取实例分析和检验了该模糊定价方法的实用性.As the financial market is often affected by some fuzzy factors,the pricing of convertible bonds shows features of fuzzy uncertainty.This paper researches the fuzzy pricing problem of convertible bonds with the payment of dividends and American option characteristics of underlying asset.The fuzzy pricing model of the convertible bonds was proposed based on the Black-Scholes model,which can be regarded as a natural extension of the traditional pricing models with the determined parameter values.Then,the specific pricing formulas with triangular fuzzy variables are given to estimate conveniently convertible bonds values.Finally,an example is shown to analyze and test the usefulness of the proposed fuzzy pricing method.

关 键 词：可转换债券 支付红利 美式期权 BLACK-SCHOLES模型 模糊数 

分 类 号：F830.91[经济管理—金融学]