基于B-S模型的可转债定价及投资策略比较  

Comparison of Convertible Bond Pricing and Investment Strategies Based on B-S Model

作　　者：吕沐航 张羿晗 LV Muhang;ZHANG Yihan(Central University of Finance and Economics;Zhongnan University of Economics and Law)

机构地区：[1]中央财经大学 [2]中南财经政法大学

出　　处：《中国商论》2021年第17期90-92,共3页China Journal of Commerce

摘　　要：本文采用成分定价法,将可转债的价值分离为债券价值和期权价值分别进行计算,其中债券部分定价基于现金流贴现定价模型,期权部分定价基于B-S模型。依据定价结果,设计投机策略与Delta对冲套利策略进行对比,并对各组合收益进行回测,验证不同策略的回报与风险。实证结果表明,Delta对冲套利组合具有更高的收益空间,同时在标的资产价格与预期反向变动时,可以有效降低损失,实现风险防范。This article adopts the component pricing method to separate the value of convertible bonds into bond value and option value to calculate respectively.The pricing of the bond part is based on the cash flow discount model,and the pricing of the option part is based on the B-S model.Based on the pricing results,this paper compares the speculative strategy with Delta’s hedging arbitrage strategy,and tests the returns of each portfolio to verify the returns and risks of different strategies again.The empirical results show that the Delta’s hedging arbitrage portfolio has a higher profit margin,and at the same time,when the underlying asset price and the expected one reversely change,it can effectively reduce losses and realize risk prevention.

关 键 词：可转债定价 B-S模型 套利策略 Delta对冲 

分 类 号：F832[经济管理—金融学]