基于可转债奇异期权的公司资本结构调整模型  

A Company Capital Structure Adjustment Model Based on the Exotic Options of Convertible Bonds

作　　者：李竟成 李徽琳 LI Jing-cheng;LI Hui-lin(School of Economics and Management,Nanjing Institute of Technology,Nanjing China,211167)

机构地区：[1]南京工程学院经济与管理学院,江苏南京211167

出　　处：《南京工程学院学报（社会科学版）》2023年第2期79-85,共7页Journal of Nanjing Institute of Technology：Social Science Edition

摘　　要：针对可转债股性不足导致公司资本结构呈现“负债粘性”问题,提出了一种基于可转债奇异期权的资本结构调整模型。模型将可转债投资者划分为HCB、LCB和分离投资者,通过改进可转债转股机制,引入期权组合及做空机制,不同类型的可转债投资者根据自己对正股的主观信心做出相机决策。研究发现,改进后的转股机制能使可转债的总转股率得到显著提升,从而有效应对公司资本结构向下调整速度不足的问题。本研究通过数值实例验证了所提出模型和方法的有效性和实用性,也为可转债转股机制研究提供了新途径。To solve the problem of“debt stickiness”in a company's capital structure due to the insufficient“equity”of convertible bonds,a capital structure adjustment model based on exotic options of convertible bonds is proposed.According to the model,convertible bond holders are divided into high-value convertible bond holders(HCB),low-value convertible bond holders(LCB)and separate investors.By improving the convertible bond-to-equity mechanism,a short-selling mechanism is introduced.Different types of convertible bonds holders can make decisions based on their subjective confidence in the underlying stock.The research results show that the improved conversion mechanism can significantly increase the total conversion rate of convertible bonds,thus effectively solving the problem of adjustment speed downward of the company's capital structure.The validity and practicability of the proposed model and method are verified by numerical examples,and it also provides a new way for the study of convertible debt-to-equity mechanism.

关 键 词：可转债 奇异期权 做空机制 公司资本结构调整模型 

分 类 号：F830.91[经济管理—金融学]