摘要
在研究可转债定价问题时考虑转股价修正条款是十分必要的。尤其是在2008年的熊市中,各可转债纷纷调低转股价,转股价修正条款给予了投资者保护作用不容忽视。基于AFV模型,本文建立了包含转股价修正条款的定价模型,并利用有限差分法进行数值求解。
It is necessary to pricing convertible bonds（CBs） incorporating the Reset Clauses. Especially in the bear market in 2008, many convertible bonds have announced the implementation of the Reset Clauses.This protective effect form which the Reset Clauses to investors can not be ignored.We explicitly take the Reset Clauses into consideration based on the AFV model, and rely on finite difference method.A numerical calculation of the pricing of an example convertible bonds is provided.
出处
《南京财经大学学报》
2010年第1期50-56,共7页
Journal of Nanjing University of Finance and Economics
基金
国家自然科学基金<期权组合非线性VaR度量模型及数值方法研究>(编号:70771099(G0115))
