百慕大可转债的最优转换策略  

The Optimal Conversion Strategies for Bermuda Convertible Bonds

作　　者：宋丽平[1] 

机构地区：[1]莆田学院数学学院,福建莆田351100

出　　处：《吉林师范大学学报（自然科学版）》2014年第3期75-78,共4页Journal of Jilin Normal University:Natural Science Edition

基　　金：国家自然科学基金项目(1001142);福建省教育厅资助项目(JB12171);莆田学院教学改革项目(JG201316)

摘　　要：本文研究一个可以在n个离散时点上进行转换的百慕大可转换公司债券(简称可转债)模型.采用基于公司价值的可转债定价模型,在公司风险资产的价值遵循几何Brown运动,且股价具有稀释效应的情形下,对百慕大可转债的最优转换策略进行分析.研究结果表明,存在一个非负的常数临界值,当公司风险资产价值高于这个临界值时,可转债应转换;否则,不转换.This paper is concerned with the model of Bermuda convertible corporate bonds（convertible bonds for short）with n discrete conversion times. By use of the pricing model of convertible bonds based on the companyˊs value,the optimal conversion strategies for Bermudian convertible bonds are analyzed in the case when the value of the company ˊs risk asset follows a geometric Brownian motion and the stocks have dilution effect. Results confirm that there is a non-negative constant threshold. Moreover,when the companyˊs risk asset value is higher than this threshold,convertible bonds should be converted;otherwise,they should not be converted.

关 键 词：百慕大可转债 最优转换策略 稀释效应 几何 BROWN 运动 无套利定价理论 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]