基于三叉树模型带信用风险的可转债定价  

The Valuation of Convertible Bonds with Credit Risk by Trinomial Tree

作　　者：谢百帅[1] 张卫国[1] 廖萍康[1] 陈雅娜[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》2013年第9期18-23,共6页Systems Engineering

基　　金：广东省高等学校珠江学者岗位计划项目(2010);中央高校基本科研业务费专项资金资助项目

摘　　要：基于发生破产违约时标的股价不为零且可转债仍可转换为股票的假设,建立了可转债定价的三叉树模型,并讨论了红利、息票和附加条款对可转债价值的影响及相应的模型处理方法。简单探讨三叉树模型与对应可转债价值满足的偏微分方程之间的关系,所得结果表明它们是内在一致的。通过数值算例比较了有限差分方法和三叉树模型两种数值方法的定价效果和定价效率。结果显示,运用三叉树方法和有限差分方法所得结果是一致的,且在通常情况下三叉树方法的效率要高于有限差分方法。Assuming the stock price will not drop to zero when bankrupt happens, trinomial tree is proposed. The effect of dividend and interest is also discussed and the method to deal with them is given. Then, this paper explores the relationship between partial difference equation and tree methods. Finally, this paper compares the finite method with trinomial tree method in term of the effect and efficiency of the numerical methods. The result shows that the trinomial tree method is more effective than the finite difference method.

关 键 词：可转债 信用风险 三叉树 偏微分方程 

分 类 号：F830[经济管理—金融学]