博弈框架下巴黎期权性质的可转换债券定价  

A Game Approach to the Pricing of Convertible Bonds with Parisian Options Characteristics

作　　者：鲍继业[1] 张恒[1] 

机构地区：[1]华中科技大学管理学院,武汉430074

出　　处：《管理科学》2013年第1期80-88,共9页Journal of Management Science

基　　金：国家自然科学基金(71071067;71231005)~~

摘　　要：可转换债券的赎回条款具有巴黎期权的性质,定价过程中应考虑赎回权利对可转换债券价值的影响;基于实物期权和期权博弈理论,可转换债券的定价过程可以与动态博弈过程类比;可转换债券发行公司与持有者之间是零和博弈,应用无风险套利原理,结合赎回条款的特点,将巴黎期权的性质纳入可转换债券定价过程,给出相应的定价方程。以2010年9月16日上市的塔牌可转换债券为例,借助数值算法和相关数据,计算出可转换债券价值,通过对比并结合持有者的最优策略,解释赎回公告期和巴黎期权特性对可转换债券价值的影响。研究结果表明,巴黎期权的引入降低了可转换债券的价值;随着公告期长度的增加,可转换债券的价值越大。上述性质与可转换债券发行公司设计赎回条款的目的一致,在一定程度上赎回条款具有迫使持有者转股的作用。The redemption provisions of convertible bonds own the Parisian options characteristics so the impact of redemption rights on the value of convertible bonds should be considered in the pricing. Based on theories of real options and option game, there is an analogy between the pricing of convertible bonds and dynamic game process. It is the zero-sum game relationship be- tween the issuing houses of convertible bonds and holders. Based on risk-free arbitrage principle and features of redemption provi- sions, the study brings the Parisian options characteristics into the pricing of convertible bonds to get corresponding pricing equa- tion. Taking the convertible bonds Tapai listed on September 16, 2010 as an example, the research calculates its value by means of numerical algorithms and related data and demonstrates how the redemption notice period and Paris option characteristics affect the value of convertible bonds by comparing and combining holders＇ optimal strategy. The results show that the introduction of Parisian options reduces the value of the convertible bonds, which increases along with the time accumulation of notice period. These findings are compatible with the design purpose of the redemption provisions by issuing houses of convertible bonds. To a certain extent, the redemption provisions play a role in forcing holders to converse shares.

关 键 词：可转换债券 巴黎期权 零和博弈 赎回公告期 

分 类 号：F830.91[经济管理—金融学]