| 二叉树模型用于可转换公司债券定价 |
| |
| 引用本文： | 朱莉,宁同科. 二叉树模型用于可转换公司债券定价[J]. 上海理工大学学报, 2008, 30(6) |
| |
| 作者姓名： | 朱莉 宁同科 |
| |
| 作者单位： | 上海理工大学理学院,上海,200093;上海交通大学安泰经济与管理学院,上海,200052 |
| |
| 基金项目： | 上海市高校选拔培养优秀青年教师科研专项基金 |
| |
| 摘 要： | 可转换公司债券兼具债券、股票和期权3个方面的部分特征,再加上可转债的赎回条款和回售条款,使其定价更为复杂.利用二叉树模型,给出了附有赎回条款和回售条款的可转债的定价方法,分析了赎回条款和回售条款对可转债的影响.
|
| 关 键 词： | 可转换公司债券 二叉树模型 风险中性概率 赎回条款 回售条款 |
Pricing of convertible bonds by binomial model |
| |
| ZHU Yi-li,NING Tong-ke(.College of Science,University of Shanghai for Science,Technology,Shanghai,Chin,.Antai College of Econennc Mangemeni,Shanghai Jiaotong University,Shanghai,China. Pricing of convertible bonds by binomial model[J]. Journal of University of Shanghai For Science and Technology, 2008, 30(6) |
| |
| Authors: | ZHU Yi-li NING Tong-ke(.College of Science University of Shanghai for Science Technology Shanghai Chin .Antai College of Econennc Mangemeni Shanghai Jiaotong University Shanghai China |
| |
| Affiliation: | ZHU Yi-li1,NING Tong-ke2(1.College of Science,University of Shanghai for Science , Technology,Shanghai 200093,China,2.Antai College of Econennc Mangemeni,Shanghai Jiaotong University,Shanghai 200052,China) |
| |
| Abstract: | Convertible bonds poccess concurrently certain characteristics of bonds,stock and options,in additionto,owing to their callability and puttability,it is more complicated to price them.The pricing method of convertible bonds with consideration of callability and puttability was discussed by use of binomial model and the influence of callabity and puttability on convertible bonds was studied. |
| |
| Keywords: | convertible bonds binomial model risk neutral probability callability puttability |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《上海理工大学学报》浏览原始摘要信息 |
|
点击此处可从《上海理工大学学报》下载全文 |
|
