摘要
可转换债券是一种复杂的信用衍生产品。国内外尚未有学者对中国可转债进行精确定价。通过以单因素模型为基础,运用B—S期权定价理论,选取招行可转债进行应用研究,证明我国可转债价格存在着明显低估现象。
Convertible bond（CB） is a rather complicated kind of credit derivative.The domestric and foreign scholars haven＇t yet precise priced the China＇s CB.This paper is survey the convertible bond prcing theories,and bases on the single factor pricing model,then use the Black-Scholes option pricing model,finally carries out an empirical research on the China Merchants Bank＇convertible bond,The empirical result is the same with most of scholars＇ research ：CBs in China are significantly underpriced.
出处
《哈尔滨商业大学学报（社会科学版）》
2007年第3期58-61,共4页
Journal of Harbin University of Commerce:Social Science Edition
关键词
可转换债券
B—S期权定价公式
招行转债
convertible bonds
B-S Option Pricing Model
CMB＇s convertible bond
