摘要
上市公司发行可转换债券在国外已有相当长的历史 ,但国内直到 2 0 0 0年才首次出现。由于可转换债券具有权益资本和债务资本的双重特性 ,其定价方法比较复杂。本文力图给出一个理论上的定价的基本模型 ,经过变化可得到文献中提到的不同定价方式。与此同时 ,本文采用蒙特卡罗模拟和有限差分数值算法 ,给国内可转债设计的两个条款——回售条款和回赎条款定价。并分析了可转债各部分在其总价值中占的比重 ,指出 :回售条款对投资者价值贡献很小 ,但在不利情况出现时 ,却可能使发行人风险很大。
Convertible bonds issuing of listed company has a long history abroad.But until this year,such products could be found in the Chinese Capital Market. The hybrid feature of convertible bonds-both equitylike and debtlike-make its pricing complicated. This paper tried to give a basic theoretic pricing model, which can be changed into other methods mentioned in the following reference. At the same time, using Monte Carlo simulation and finite difference method, the calling provision and put provision of domestic convertible bonds could be priced. Also,the value of each part is analyzed. As it can see,put provision has not much contribution to its holder. But when it come worse, the issuer could suffer a lot.
出处
《系统工程》
CSCD
北大核心
2001年第4期47-53,共7页
Systems Engineering
基金
国家杰出青年科学基金资助项目 (70 0 2 5 30 3)
教育部跨世纪优秀人才资助项目
关键词
可转换债券
蒙特卡罗模拟
回售条款
回赎条款
股票
上市公司
Convertible Bond
Monte Carlo Simulation
Finite Difference Method
Call Provision
Put Provision
