| 可转换债券定价的三叉树方法 |
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| 引用本文： | 张江红,杨善朝. 可转换债券定价的三叉树方法[J]. 太原师范学院学报(自然科学版), 2007, 6(2): 8-11 |
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| 作者姓名： | 张江红 杨善朝 |
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| 作者单位： | 1. 咸阳师范学院,数学系,陕西,咸阳,712000
2. 广西师范大学,数科院,广西,桂林,541004 |
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| 基金项目： | 广西自然科学基金;咸阳师范学院校科研和教改项目 |
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| 摘 要： | 可转债是我国资本市场上的新型金融工具，因其独特的金融性质，受到越来越多投资者的关注和欢迎，对其定价理论的研究具有一定的理论和实际意义.文章采用三叉树方法，考虑了可转债的复杂条款以及发行者的违约风险，通过合理确定边界条件及其相关参数建立了可转债的三叉树定价模型，并以金牛、万科2只转债为例进行了实证分析.
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| 关 键 词： | 可转换债券 赎回条款 回售条款 三叉树方法 |
| 文章编号： | 1672-2027（2007）02-0008-04 |
| 修稿时间： | 2007-03-16 |
Application of Trinomial Tree Model to the Pricing of Convertible Bond |
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| Zhang Jianghong,Yang Shanchao. Application of Trinomial Tree Model to the Pricing of Convertible Bond[J]. Journal of Taiyuan Normal University:Natural Science Edition, 2007, 6(2): 8-11 |
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| Authors: | Zhang Jianghong Yang Shanchao |
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| Affiliation: | 1. Department of Mathematics, Xianyang Normal University,Xianyang 712000; 2. Department of Mathematics, Guangxi Normal University,Guilin 541004,China |
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| Abstract: | Convertible bond is new-types instrument on the capital market of our country,which receives more and more popularity among investors due to its unique financial characteristics,studies on its pricing theory also presents theoretical and practical significance.This paper adopts the trinomial tree method,which considers the complicated clauses and the issuer's credit risks at the same time,to get the convertible bond trinomial tree pricing model through confirming rationally the border conditions and relevant parameters,and utilizes this model to carry on the positive research to JinNiu and WanKe2 convertible bond. |
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| Keywords: | convertible bond call clause put clause the trinomial tree method |
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