具有巴黎期权特性的可转债有限元定价和策略分析

硬赎回约束和软赎回约束使得可转债的定价复杂化。本文给出了具有巴黎期权特性的可赎回可转换债券定价模型，基于期权博弈分析思想分析了发行者和持有者的最优策略，并采用有限元方法给出了该定价模型的数值解。最后用给出的定价模型计算了招行转债的价值，并分析了发行者和持有者的最优策略。结果表明，赎回公告期和巴黎期权特征对可转换债券的价值以及发行者和持有者的最优策略都有显著的影响，这对可转换债券的定价和条款设计有着重要的意义。

Valuation and Strategic Analysis of Convertible Bonds with the Parisian Option Feature Using the Finite Element Method

The hard and soft call constraints complicate the valuation of convertible bonds. The valuation model of convertible bonds with Parisian feature is provided in this paper, and the optimal strategic of the issuer and the holders are analyzed based on the game theory analysis of options. Moreover, the finite element method is adopted to solving the pricing model and the projected successive over-relaxation technique is used to handling the American constraint. Finally, the convertible bonds issued by China Merchants Bank is taken for an example to illustrate how the model works. Results show that notice period and Parisian feature have significant effect on the value of convertible bonds and the optimal policies, which is important for the pricing and designing of convertible bonds.