基于双因素的可转换债券定价模型

将信用风险、利率期限结构引入到二叉树定价模型中,建立以股价和利率为标的变量的二叉树定价模型.在给定的边界条件和具体参数下,对我国的可转换债券进行定价研究,并用市场数据对模型做了实证检验.对比标的股价二叉树定价模型的计算结果,发现基于双因素的可转债定价模型的计算精确度较高,同时,计算得到的理论价值的走势跟市场价格的走势较为相似.

Two-Factor Pricing Model for Convertible Bonds

Introducing the credit risk and term structure of interest rate into the existing binomial-tree pricing model,a binomial-tree pricing model is set up in terms of stock price and interest rate as two target variables or factors.The pricing of domestic convertible bonds is studied with relevant boundary conditions and parameters both given,then the proposed model is verified empirically using the real data on market.Compared to the calculated results based on the existing binomial-tree pricing model for target stock price,the calculated results based on the two-factor binomial-tree pricing model for convertible bonds are found more accurate,and the trend of the value calculated theoretically by the latter is closer to that of market price.