基于双因素的三叉树模型在可转债的应用研究  

Research on the Application of Two-Factor Trinomial Tree Model in Convertible Bonds

作　　者：周清[1] 辛宗宇 ZHOU Qing;XIN Zongyu(School of Science,Beijing University of Post and Telecommunication,Beijing 100876)

机构地区：[1]北京邮电大学理学院

出　　处：《首都师范大学学报（自然科学版）》2019年第3期1-5,共5页Journal of Capital Normal University：Natural Science Edition

基　　金：国家自然科学基金资助项目(11471051)

摘　　要：本文探索一种符合中国市场并且科学合理有效的可转债定价方法,将信用风险与利率期限结构引入三叉树模型之中,考虑了可转债的复杂条款,建立了基于股价和利率的双因素可转债定价模型.此外,本文对模型进行实证研究,结果验证了模型的有效性,证明模型具有良好的市场切合度.最后,模型与几个已有定价模型相比具有更高市场定价精度.This paper explores a convertible bond pricing method that is consistent with the Chinese market and is scientifically reasonable and effective.It introduces the term structure of credit risk and interest rate into the ternary tree model.It takes into account the complex terms of convertible bonds and establishes two factors C-B pricing model based on stock price and interest rate.In addition,the paper conducts empirical research on the model,and the results verify the validity of the model and prove that the model has a good degree of market fit.Finally,this model has higher market pricing accuracy than several existing pricing models.

关 键 词：三叉树 利率期限结构 信用风险 复杂条款 

分 类 号：O213[理学—概率论与数理统计] F830[理学—数学]