跳扩散模型下考虑不同违约回收率的可转债定价  

The Pricing of Convertible Bonds under Jump-diffusion Model with Different Defaultable Recovery Rates

作　　者：乔高秀[1,2] 潘席龙[3] 

机构地区：[1]上海交通大学上海高级金融学院,上海200030 [2]西南财经大学金融学院,四川成都611130 [3]西南财经大学中国金融研究中心,四川成都611130

出　　处：《系统工程》2013年第3期1-7,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(71271173);国家自然科学基金青年项目(71073129);中央高校基本科研业务专项基金资助项目(JBK120211)

摘　　要：在Ayache等(2003)简化模型的基础上提出股票价格服从跳-扩散过程时具有违约风险的可转债定价模型。将可转债拆分为虚拟的债券和股权部分价值之和,采用Crank-Nicolson有限差分法构造数值解法,分别计算三种回收率(市值回收率、面值回收率和国债回收率)下可转债的价格,并对债性和股性部分进行分析。结论表明:面值回收率下可转债价格最高;跳参数影响可转债价格,跳过程降低了可转债各部分的价值和总价值。本文所提模型对解决我国股性偏强的可转债定价问题和为中小企业发行可转债提供了可借鉴的模型。Based on the Reduced-form model of Ayache et. al （2003）, this paper proposes the convertible bonds pricing model when stock price follows jump-diffusion process. Splitting convertible bonds into bond and equity part, we present the pricing models with three different recovery rates ; numerical solution is conducted using Crank-Nicolson finite difference methods. The quantitative analysis shows that prices under recovery of face value are the highest, jump parameters have significant influence on the price, and jump decreases the value of the separate part and convertible bonds. The proposed model gives a good reference for convertible bonds pricing with more equity property, and also for small and medium-sized enterprises issuing convertible bonds.

关 键 词：可转换债券 违约风险 跳-扩散过程 回收率 

分 类 号：F830[经济管理—金融学]