摘要
可转换债券作为金融衍生品之一,除了包含债券本身的价值,还具有股票和期权价值等特性。可转换债券的定价不仅是制定合理发行价和转股价的重要依据,同样也是投资者评估其投资价值的重要依据,并有利于风险管理和市场的稳定与发展。本文首先对可转换债券的价值构成进行探讨,然后采用二叉树和Black-Scholes模型定价,并通过案例实证分析,研究结果表明:Black-Scholes定价方法效果优于二叉树方法;随着可转换债券市场的发展,可转换债券价值正逐步走向合理的估值水平。
As one of the financial derivative securities, convertible bond has the features of stock and option besides of its own value. The asset pricing of convertible bond plays an important role in the debenture issue, price assessment, risk management, and capital market stability and development. This paper presents a discussion of convertible bond pricing models with cases study. The results indicate that the Black-Scholes pricing model is more efficient than the Binary-Tree pricing model, and the price of convertible bonds is gradually reaching a convergence to the expected value with the development of capital market.
出处
《北京交通大学学报（社会科学版）》
CSSCI
2009年第2期42-47,共6页
Journal of Beijing Jiaotong University(Social Sciences Edition)
关键词
可转换债券
评估方法
股票
期权
定价
convertible bonds
assessment method
stock
option
asset pricing
