| 引入信用风险的可转债定价模型及其实证研究 |
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| 引用本文： | 马超群,唐耿.引入信用风险的可转债定价模型及其实证研究[J].系统工程,2004,22(8):69-73. |
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| 作者姓名： | 马超群 唐耿 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家自然科学基金资助项目(70371028)，湖南省自然科学基金资助项目(02JJY2108) |
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| 摘 要： | 建立引入信用风险的二叉树定价模型，研究可转债各主要条款以及发行人信用风险对可转债价值的影响，通过确定边界条件和具体的参数对我国的可转债进行合理的定价。而后利用该模型对我国的可转债市场进行实证研究，发现我国可转债的市场价格普遍被低估．并分析这一现象产生的原因。
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| 关 键 词： | 可转换债券 二叉树 信用风险 赎回 回售 |
| 文章编号： | 1001-4098(2004)08-0069-05 |
Binomial Tree Pricing Model of Convertible Bond and Its Empirical Research |
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| MA Chao-qun,TANG Geng.Binomial Tree Pricing Model of Convertible Bond and Its Empirical Research[J].Systems Engineering,2004,22(8):69-73. |
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| Authors: | MA Chao-qun TANG Geng |
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| Abstract: | On the basis of analyzing the composing features and characters of Chinese convertible bonds, a binomial tree (pricing) model with credit risk is issued to carry out investigation of the impacts of main features and the credit risk of issuer on the fair value of convertible bond. Also, a reasonable valuation for Chinese convertible bond is given by choosing the (appropriate) boundary conditions and input parameters. What's more, an empirical research is put forth on Chinese (convertible) market which indicates that the convertible bonds are underpriced. At last, the reasons for this phenomenon are discussed. |
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| Keywords: | Convertible Bond Binomial Tree Model Credit Risk Call Put |
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