付息可回售可赎回的转债解析定价  

Pricing the Decomposition of Callable and Redeemable Convertible Bonds with Payment of Interest

作　　者：蒋致远[1,2] 张顺明[3] 李江峰[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005 [2]桂林电子科技大学统计系,广西桂林541004 [3]中国人民大学财经学院,北京100083

出　　处：《系统工程》2012年第8期52-57,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(10961011)

摘　　要：利用对冲的方法建立付息的可回售可赎回可转换债券定价模型,并利用反应扩散方程求解,得到付息可赎回可转换债券定价解析式。分析结果表明,付息可赎回转债可拆解为四部分:普通债券、美式以回售价为执行价格普通债券为标的的下降敲入看跌期权、美式以赎回价与转化价格比率为执行价格以普通债券为标的的上升敲入看跌期权、欧式以股票为标的以转换价格与债券收益率之积为执行价格的看涨期权。本文最后对付息可回售可赎回可转换债券的理论价值关于各参数进行了弹性分析。This paper establishes a pricing model for callable and redeemable convertible bonds with payment of interest using hedge method and obtains its analytic formula implied from reaction diffusion equations.Furthermore,it works out closed-formula for the zero coupon of putable convertible bond and interest of the convertible bond.This paper analyzes the parameters of theoretical value.It is found that callable and redeemable convertible bonds with payment of interest can be decomposed into convertible bonds,American down-and-in put options with call price as exercise price and common bonds as a bid,American up-and-in put options with the rate of call price to convertible price as exercise price and common bonds as a bid,and European call option with stocks as a bid,the product of convertible price multiplying yield rate of bonds as exercise price.Finally analysis of elasticity is made on the theoretical value of callable and redeemable convertible bonds with payment of interest regarding each parameter.

关 键 词：可回售 可赎回 可转换债券 奇异期权 解析定价 

分 类 号：F830[经济管理—金融学] C931[经济管理—管理学]