基于蒙特卡罗方法的含转股价向下修正条款的可转债定价研究  

Pricing Chinese Convertible Bonds with the Reset Clause by Monte Carlo Method

作　　者：罗鑫 张金林[1] Luo Xin;Zhang Jinlin

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073

出　　处：《金融理论与实践》2020年第10期45-53,共9页Financial Theory and Practice

基　　金：国家社会科学基金项目“金融科技背景下普惠金融机制与路径研究”资助,项目编号为19BJY250。

摘　　要：通过推广默顿模型,发展了求解可转债的违约概率以及估计可转债发行后正股波动率的新方法,在此基础上提出了基于Longstaff-Schwartz最小二乘Monte Carlo模拟的含向下修正条款的可转债定价方法,并用该方法和常用的信用风险溢差(CS)方法对海尔可转债定价。定价实证结果表明:提出的新定价方法具有定价精确度高、参数易获得等优势;另一个重要结论是对现有的可转债条款来说的,向下修正条款对可转债的价格和转股概率没有明显的影响。By developing Merton theory,we find a new effective method to get theoretical values of the two parameters the volatility of the underlying stock and the default probability of convertible bonds.Based on the new method,we propose a new way to price Chinese convertible bonds with a downward revision clause by the Longstaff-Schwartz Least Squares Monte Carlo(LSM)simulation.In this paper,we adopt the present new way and credit spreads approach to price the Haier convertible bond.The pricing empirical analysis shows that the present new way has higher pricing accuracy than Credit Spread approach.Another interesting phenomenon is that the downward revision clause has little or no significant effect on the value and conversion probability of Chinese convertible bonds.

关 键 词：股票市场 可转债定价 违约强度 信用溢差 蒙特卡罗模拟 

分 类 号：F830.91[经济管理—金融学]