不可赎回可转换债券的价格分析

作者通过把可转换债券的定价问题化为Black-Scholes 方程的双自由边界问题，证明必存在最优转股边界和最差转股边界。当公司价值超过最优转股边界时，转债持有人应立即实施转股，此时收益最大。当公司价值跌破最差转股边界时，转债持有人如果实施转股，将血本无归。

The Pricing Analysis of Irredeemable Convertible Bonds

In this paper, we prove that there exist two boundaries which are the optimal exercise boundary and the worst exercise boundary by changing the valuation of convertible bonds into the two- free- boundary problem of the Black- Scholes equation. When the value of a company acrosses increasingly the optimal exercise boundary,the return of its irredeemable bonds is largest if they are converted into its stocks. When the value of a company acrosses decreasingly the worst exercise boundary,the value of its irredeemable bonds is zero if they are converted into its stocks.