摘要
可转换债券是一种极其复杂的信用衍生产品。除了一般的债权之外,它包含众多的期权,如转股权、回售权、赎回权和转股价调低权等。条款的复杂性决定了可转换债券定价的复杂性。利用金融工程学的基本原理和方法,根据中国可转换债券的具体特征,构造了中国可转换债定价的具体模型,并通过具体的参数估计,对中国的可转换债券的合理价格进行了研究。其结果是,目前我国可转换债券的价格和其理论价值相比,存在较大的差异,可转换债券的价值明显被低估。
Convertible bonds (CB) are derivatives of credit of a rather complicated kind. Besides the rights of ordinary creditors, CBs contain many options, such as conversion option, call option, put option and option to lower the conversion price. The complexity of clauses in CBs results in the difficulties of CB pricing. By using the basic theories and methods of financial engineering and taking into account the characteristics of CBs in China, it is possible to construct a pricing model for CB pricing in China. This paper is a study of the reasonable price of CBs in China through estimation of specific parameters based on such a model. It shows that, compared with the theoretical prices, CBs in China are significantly underpriced.
出处
《厦门大学学报（哲学社会科学版）》
CSSCI
北大核心
2004年第2期93-99,共7页
Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)
基金
教育部人文社会科学研究2003年度博士点基金研究项目(03JB790016)
教育部优秀青年教师资助计划项目
福建省社科"十五"规划(第二期)项目(2003B069)
关键词
可转换债券
资产定价
路径依赖期权
convertible bonds, asset pricing, path-dependent option
