含股权稀释效应和债务杠杆作用的可转债定价  

Pricing Convertible Bonds with Dilution Effect and Debt Leverage

作　　者：廖萍康[1] 张卫国[1] 谢百帅[1] 章小莉[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》2012年第6期59-64,共6页Systems Engineering

基　　金：国家社科基金重大(招标)项目(11&ZD156);广东省高等学校珠江学者岗位计划项目

摘　　要：股权稀释效应和债务杠杆作用可通过改变股权价值和风险影响可转债价值,从而对可转债定价的产生综合影响。基于认股权证定价模型,本文建立了含可转债稀释效应和杠杆作用的可转债定价模型,并讨论了债务杠杆作用下基于MM理论的波动率修正方法。理论分析和数值算例表明,可转债价值受稀释效应和杠杆作用综合作用影响,稀释效应和杠杆作用对可转债价值分别产生正向和负向的影响。在可转债定价中同时考虑稀释效应和杠杆作用及其修正方式为可转债定价提供了一种新的思路。Dilution effect and debt leverage may change the price and risk of shares and have effect on the value of convertible bonds. This paper builds up two models to price the convertible bonds with dilution effect and debt leverage based on some models of warrants value. It also proposes a method to correct volatility with historical volatility based on the M-M models. The theoretical and numerical analysis taken argues that dilution effect and debt leverage can affect the value of convertible bonds. Dilution effect may have a negative effect on convertible bonds, while debt leverage may have positive effect. This model offers a new idea of pricing convertible bonds.

关 键 词：可转债 定价研究 权证定价模型 稀释效应 杠杆作用 

分 类 号：F830[经济管理—金融学]