可转换债券的价值评估--二叉树期权模型的应用  

Valuation of Convertible Bonds: Application of Binomial Trees

作　　者：崔劲 殷霞 豁秋菊 Cui Jin;Yin Xia;Huo Qiuju(Pan-China Appraisal Co.,Ltd.,Beijing.100039)

机构地区：[1]北京天健兴业资产评估有限公司,北京100039

出　　处：《中国资产评估》2022年第1期42-50,62,共10页Appraisal Journal of China

摘　　要：可转债是介于股票和债券之间的一种混合金融产品,因其具有转股、赎回权等多项权利,被越来越多的企业作为吸引投资者的一种融资工具。然而,由于可转债价值不但受纯债部分的影响,还受到各种内嵌权利条款的影响,因此可转债的价值评估是实践中经常面临的一个难题。可转债的标的资产是股票,当股票价格或其他条件达到某一水平时,可能就会触发转股或赎回等权利,该事件在既定期限内的任意时点都有可能发生。二叉树模型能够基于股票价格走势以及各时点股票价格所引起的可转债价值变化进行分析,可以较好地反映可转债在各时点的价值以及评估时点的公允价值。本文在对可转债的价值影响因素进行充分梳理和分析的基础上,对二叉树的应用原理和定价思路进行了剖析,并通过案例分析阐明了二叉树在可转债价值评估中的具体应用,为评估实践提供借鉴和参考。Convertible bonds are a kind of mixed financial instruments with debt-and equity-like features. Because of their multiple rights such as conversion and redemption rights, convertible bonds are used as a financing tool to attract investors by more and more companies. However, since the value of convertible bonds is not only affected by the pure debt, but also by various embedded rights clauses, the valuation of convertible bonds faces many difficult problems in practice. The underlying assets of convertible bonds are stocks, so conversion or redemption rights may be triggered when the stock price or other conditions reach a certain level, and this event may occur at any point in the established period. Binomial trees can analyze the stock price trends and the changes of the value of convertible bonds caused by stock prices at various time points, so this method can better reflect the value of convertible bonds at any time. On the basis of fully combing and analyzing the factors affecting the value of convertible bonds, the article analyzes the application principles and pricing process of binomial trees, and clarifies the specific application of binomial trees in the valuation of convertible bonds through case studies. We wish this article can provide reference for valuation practice.

关 键 词：可转债 二叉树 价值评估 

分 类 号：F275[经济管理—企业管理]