| 可转债价值的非参数估计 |
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| 引用本文： | 张江红,杨善朝.可转债价值的非参数估计[J].宝鸡文理学院学报(自然科学版),2007,27(2):119-121. |
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| 作者姓名： | 张江红 杨善朝 |
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| 作者单位： | 咸阳师范学院,数学系,陕西,咸阳,712000;广西师范大学,数学科学学院,广西,桂林,541004 |
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| 基金项目： | 广西自然科学基金
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咸阳师院专项科研基金 |
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| 摘 要： | 目的在传统的可转换债券定价理论的基础上分析可转债的价值,给出了其价值确定公式。方法采用非参数核密度估计推断方法。结果对华菱转债进行了实证分析,考虑了该转债转股获利的可能性,并就该转债回售风波做出了理论解释。结论可转债由于其隐含期权的复杂性,加之转换条款的多样性,定价比较复杂,本文从数据出发利用统计分析方法分析其价值不失为一种较好的方法。
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| 关 键 词： | 可转换债券 B-S模型 核密度估计 |
| 文章编号： | 1007-1261（2007）02-0119-03 |
| 收稿时间： | 2006-09-29 |
| 修稿时间： | 2006-09-292006-12-27 |
Nonparametric estimation on convertible bond valuation |
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| ZHANG Jiang-hong,YANG Shan-chao.Nonparametric estimation on convertible bond valuation[J].Journal of Baoji College of Arts and Science(Natural Science Edition),2007,27(2):119-121. |
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| Authors: | ZHANG Jiang-hong YANG Shan-chao |
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| Institution: | 1. Dept. Math. , Xianyang Normal University, Xianyang 712000, Shaanxi, China; 2. Dept. Math. , Guangxi Normal University, Guilin 541004, Guangxi, China |
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| Abstract: | Aim The convertible bond value is analyzed on the basis of the traditional theory, and its value formula has been given.Methods Non-parameter kernel density estimation method was adopted.Results With the results we have the empirical analysis to Hualing convertible bond is done, the converting probability is considered, and the put phenomenon is explained.Conclusion Because of the complexity of the potential option and the multiplicity of the converting provision, the convertible bond fixed price is quite complex usually, so it is one better method that the statistical analysis method is used. |
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| Keywords: | convertible bond Black-Scholes model kernel density estimator |
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