基于布莱克-斯科尔斯模型的可转换债券的价值估计——以某上市公司可转债为例  

Value Assessment of Convertible Bonds Based on the Black-Scholes Model:Taking a Listed Corporation's Convertible Bonds as an Example

作　　者：程国忠 CHENG Guozhong(CICT Connected and Intelligent Technologies Co.,Ltd.,Beijing 100083,China)

机构地区：[1]中信科智联科技有限公司,北京100083

出　　处：《商业观察》2024年第21期45-48,共4页BUSINESS OBSERVATION

摘　　要：可转换债券作为一种融合债券和股权双重特性,具备筹资和降低风险功能的多用途金融工具,它的价格确定一直受到广泛关注。文章通过分析可转换债券理论价值的构成得出可转换债券理论价值由一般债券部分价值和期权部分价值组成,并以银行股份有限公司于2021年发行的可转换债券为例,通过布莱克—斯科尔斯模型来估算可转换债券的理论价值,并将结果与其实际市价相较,分析价格偏差产生的原因,最后总结影响可转换债券理论价值的关键要素,以期为可转换债券的定价以及投资提供一些帮助。As a multi-purpose financial instrument that combines the characteristics of bonds and equity,the convertible bond has the function of raising funds and reducing risks.Its pricing has been widely concerned.In this paper,by analyzing the composition of theoretical value of convertible bonds,it concludes that convertible bonds theory value cons ists of the com ponents in general bond value and option value.Taking the convertible bond issued in 2021 by the bank Co.,Ltd.,through the Black-Scholes model for calculation,the theoretical value of the convertible bond is assessed.It is compared with the actual market price,analyzes the causes of price deviation,finally analyzes the influence factors of convertible bond theory value,in order to offer help to its pricing and investment in convertible bonds.

关 键 词：可转换债券 定价 布莱克—斯科尔斯模型 银行股份有限公司可转债 

分 类 号：F224[经济管理—国民经济] F832.51