奇异期权与中国可转债定价

可转换债券一种含有奇异期权的公司债券。为了给可转换债券提供一种精确的定价方法,引入了最小二乘Monte Carlo模拟法,处理美式和路径依赖型奇异期权的定价问题。通过这种定价方法,计算出了中国市场上现有的24个可转债的理论价格,并与市场价格进行了比较。实证结果表明:该方法的平均定价误差在时间序列和横截面上都不超过1%,并且它的标准差约为2%。这说明,本方法在中国可转债定价中优于其他数值方法;中国的可转债市场存在套利机会。

Pricing approach to exotic options and China's convertible bonds

Convertible bonds are corporate bonds that contain exotic options.A least-squares Monte Carlo approach was used to precisely price convertible bonds and to solve the pricing problem of exotic options consisting of American and path dependent provisions.Samples of 24 current kinds of convertible bonds were evaluated.The empirical results show that the mean of pricing errors are less than 1% and the standard deviations are about 2% for both time series data and cross section data.The conclusions are that the least-squares Monte Carlo approach is better than other numerical methods for pricing convertible bonds and that China's convertible bond market creates arbitrage opportunities.