| 引入信用风险的我国可转换债券定价实证研究 |
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| 引用本文： | 孟卫东,陈浩文.引入信用风险的我国可转换债券定价实证研究[J].系统工程,2008,26(10). |
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| 作者姓名： | 孟卫东 陈浩文 |
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| 作者单位： | 重庆大学,经济与工商管理学院,重庆,400030 |
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| 摘 要： | 利用最小二乘Monte Carlo(LSM)模拟建立引入信用风险的可转债定价模型,模型可以更好地描述内嵌不同路径依赖触发条款期权的可转债的复杂特征.本文用MATLAB软件编程计算出中国沪深两市11支可转换债券的理论价格并与市场价格进行比较.实证结果表明,该模型的平均定价偏差在时间序列和横截面上都不超过4%,模型价格与市场价格拟合程度很高,这为模型在实际投资决策中的模拟应用提供了理论依据,具有很高的实用价值.
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| 关 键 词： | 可转换债券 最小二乘Monte Carlo模拟 信用风险 定价模型 |
Empirical Research on a Pricing Model of Convertible Bonds in Chinese Markets by Introducing Credit Risk |
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| MENG Wei-dong,CHEN Hao-wen.Empirical Research on a Pricing Model of Convertible Bonds in Chinese Markets by Introducing Credit Risk[J].Systems Engineering,2008,26(10). |
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| Authors: | MENG Wei-dong CHEN Hao-wen |
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| Institution: | MENG Wei-dong,CHEN Hao-wen(Chongqing University,Chongqing 400030,China) |
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| Abstract: | This paper proposes a pricing model for convertible bonds based on the Least-Square Monte Carlo simulation,which allows us to better capture the complexity of real-world convertible bond such as the characteristics of clause options of various embedded path-dependence trigger conditions.By using the convertible pricing model proposed,we calculate the theoretical prices of 11 convertible bonds in Shanghai and Shenzhen markets and comparing them with market prices.The results show that the average price error... |
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| Keywords: | Convertible Bond LSM Simulation Credit Risk Pricing Model |
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