可转换债券价值评估方法实务应用研究  

Research on the Practical Application of Valuation Methods for Convertible Bonds

作　　者：周鹰飞 高莉莉 张挺 张发文 Zhou Yingfei;Gao Lili;Zhang Ting;Zhang Fawen(Jiangsu Huaxin Assets Appraisal Co.,Ltd,Nanjing 210000)

机构地区：[1]江苏华信资产评估有限公司,江苏南京210000

出　　处：《中国资产评估》2024年第9期22-34,45,共14页Appraisal Journal of China

基　　金：江苏省资产评估协会2022年度业务专项课题“可转换债券价值评估方法实务应用研究”(批准号:苏评协(2022)82号)。

摘　　要：本文从可转债定价的理论研究出发,首先介绍了利用二叉树模型对不含权债券定价的思路和方法,然后通过分析可赎回或者可回售债券、纯粹债券与嵌入式期权债券的价值之间的关系,探讨如何使用二叉树模型评估具有嵌入式期权的债券,并以实务案例的形式着重介绍了通过建立利率二叉树对可转换债券价值评估的过程。通过研究发现,可转换债券价值受利率波动影响,且无论是赎回期权还是回售期权,其期权价值均会随着利率波动率的增加而增加。This article starts from the theoretical research on the pricing of convertible bonds.Firstly,the idea and method of using the binomial tree model to price non-option bonds were introduced.Then,this paper explores how to use the binomial tree model to evaluate embedded option bonds by analyzing the relationship between the value of callable bonds and putable bonds,straight bonds,and embedded option bonds.In the form of practical cases,the process of evaluating the value of convertible bonds by establishing an interest rate binomial tree was emphasized.Through research,it has been found that the value of convertible bonds is affected by interest rate fluctuations.Whether it is a redemption option or a put option,its option value will increase with the increase in interest rate volatility.

关 键 词：可转债 利率二叉树 期权 

分 类 号：F270[经济管理—企业管理]