基于RCB定价模型的可转债Delta套利策略  

Delta Arbitrage Strategy of Convertible Bond Basedon RCB Pricing Model

作　　者：王玮琦 WANG Weiqi(Antai School of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《上海管理科学》2023年第2期73-78,共6页Shanghai Management Science

摘　　要：利用RCB定价模型对2016年1月1日—2019年12月31日在上交所、深交所交易的222只公募可转债进行定价,发现可转债的市场价格相对模型算出的理论价格平均高出4.77%。在此基础上,构建了两种基于RCB定价模型的可转债Delta套利策略,实证结果表明构建的两种策略有效,策略执行效果均优于直接执行Delta交易策略。RCB pricing model is used to price 222 public convertible bonds traded in Shanghai Stock Exchange and Shenzhen Stock Exchange from January 1,2016 to December 31,2019,we find that the market price of convertible bonds is 4.77%higher than the theoretical price calculated by the RCB pricing model.On this basis,two Delta arbitrage strategies of convertible bonds based on RCB pricing model are constructed.The empirical results show that the two strategies constructed are effective,and the effect of these two strategies is better than that of the Delta trading strategy executed directly.

关 键 词：可转债 RCB定价模型 Delta套利策略 

分 类 号：F832.5[经济管理—金融学]