隐含波动率的计算和其在可转债定价中的应用

在期货,期权以及其它的衍生证券定价理论方面,Black-Scholes理论是一个主流.本文详细介绍了Blak-Scholes框架下的欧式期权定价理论及其在可转债定价中的应用;并以国内运转较好的燕京转债为例,重点作了对常数利率可转债模型在国内可转债市场的实证分析,并比较了用统计方法估计股票波动率和用隐含波动率时模型的预测效果.结果表明,用隐含波动率来改进常数利率转债定价模型后的预测效果有了很大的提高.

Estimate on the Probability of a Company's Breaching of Faith in Finance Market

In the theory of pricing options, futures, and other derivatives, the framework of Black-Scholes is the mainstream. In this article, it details the pricing theory of European options under the framework of Black-Scholes and its application to the field of pricing convertible bonds. The main purpose of this article is to do empirical test of the pricing model with constant interest rate and YANJING convertible bond is choosed for its well-traded situation in domestic convertible bond markets. In the empirical test, both statistical method and implied volatility method are used for estimating the volatility of the underlying asset. The result shows that there is a big improvement made. in the forecasting the market when using implied volatility method instead of statistical method.