可转换债券最优转换策略及其定价研究  

The Optimization Conversion Strategies and Valuation of Convertible Bonds

作　　者：朱艳芳[1] 

机构地区：[1]天津大学管理经济学部,天津300072

出　　处：《山西师范大学学报（自然科学版）》2011年第2期20-26,共7页Journal of Shanxi Normal University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(70971098)

摘　　要：本文在公司资产中包含股票、债券及可转债三种资产等假定条件下,提出了公司风险资产之间存在风险价格均衡的假说并予以证明,推导出风险价格均衡状态下可转债和股票收益计算公式.研究了利用期权定价理论来确定基于无限制转换的可转债最优转换策略,建立了基于无限制转换和风险价格均衡的结构型可转债定价模型.A guess on risk price equilibrium was proposed and proved under the assumptions such as considering three assets in a company with stocks,bonds and convertible bonds.And then its return ration calculation method of convertible bonds and stocks was deduced in this paper.The most optimization strategy was investigated by using the theory of option pricing.At last a novel structural pricing model based on no restriction conversion and risk price equilibrium was created.

关 键 词：可转换债券 定价 最优转换策略 风险价格 均衡 

分 类 号：O211.6[理学—概率论与数理统计] F830.91[理学—数学]