| 二叉树模型在可转换债券定价中的应用 |
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| 引用本文： | 杨立洪,杨霞. 二叉树模型在可转换债券定价中的应用[J]. 华南理工大学学报(自然科学版), 2005, 33(3): 99-102 |
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| 作者姓名： | 杨立洪 杨霞 |
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| 作者单位： | 华南理工大学,数学科学学院,广东,广州,510640;华南理工大学,数学科学学院,广东,广州,510640 |
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| 摘 要： | 可转换债券在我国是一种比较新的兼具债券和期权特征的混合型金融衍生产品，具有筹资和避险双重功能．无论对于发行者还是投资者，对可转换债券的定价研究都有其理论和实际意义．文中运用二叉树期权定价模型，考虑赎回和回售条款，并结合上市的24只可转换债券，对可转换债券的定价理论和应用模型做了系统研究．结果表明，可转换债券价值被明显低估．
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| 关 键 词： | 可转换债券 二叉树模型 定价 |
| 文章编号： | 1000-565X(2005)03-0099-04 |
Application of Two Binomial Tree Model to the Pricing of Convertible Bond |
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| Yang Li-hong,Yang Xia. Application of Two Binomial Tree Model to the Pricing of Convertible Bond[J]. Journal of South China University of Technology(Natural Science Edition), 2005, 33(3): 99-102 |
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| Authors: | Yang Li-hong Yang Xia |
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| Abstract: | Convertible bond is a new hybrid financial tool, which possesses the characteristics of bond and option and the performances of financing and evading risk. The investigation into the pricing of convertible bonds is very important to both issuers and investors in practice or theory. In this paper, by using the Two Binomial Tree Model and considering the call and put items, the pricing theory and corresponding pricing model of convertible bonds is systematically studied through 24 kinds of convertible bonds in China market. The results show that the convertible bonds are significantly underpriced. |
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| Keywords: | convertible bond two binomial tree model pricing |
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