基于修正三叉樹模型的我國上市可轉(zhuǎn)債定價實證研究
發(fā)布時間：2018-08-14 17:00
【摘要】：可轉(zhuǎn)換債券（簡稱可轉(zhuǎn)債）是指發(fā)行人依法發(fā)行，在一定期間內(nèi)，可按一定比例或價格轉(zhuǎn)換成一定數(shù)量的標(biāo)的證券的特殊公司證券。其具有優(yōu)良的融資與投資功能，這使得其成為目前發(fā)展最快的金融衍生品之一。在國內(nèi)已有的10余年可轉(zhuǎn)債定價研究中，常見的研究路徑忽略了國外模型假設(shè)條件與參數(shù)在中國并不適合，使得定價效率不高，立足我國實際開發(fā)出適合我國可轉(zhuǎn)債市場的定價模型具有重要的理論與實際意義�？傮w而言，影響可轉(zhuǎn)債定價精確性的主要方面在于：定價模型的選擇或開發(fā)；模型參數(shù)的估算；可轉(zhuǎn)債嵌入條款價值的數(shù)學(xué)表達(dá)問題。為此，，本文完成了以下工作：（1）結(jié)合我國可轉(zhuǎn)債市場及已有模型定價效率,選擇具有更高定價效率的傳統(tǒng)三叉樹模型，針對該模型缺陷，推導(dǎo)出我國可轉(zhuǎn)債標(biāo)的股票對數(shù)價格運動規(guī)律的關(guān)系式，以此為基礎(chǔ)推導(dǎo)修正三叉樹模型；（2）推導(dǎo)出重要模型參數(shù)：標(biāo)的股票波動率在我國的計算公式；（3）分析推導(dǎo)出我國可轉(zhuǎn)債嵌入條款價值數(shù)學(xué)表達(dá)式。以上也是本文的三個創(chuàng)新點，是本文提高可轉(zhuǎn)債模型定價效率的主要方向。利用以上三個結(jié)論，結(jié)合我國目前19支上市可轉(zhuǎn)債實際數(shù)據(jù)與MATLAB軟件，得到傳統(tǒng)三叉樹模型與修正三叉樹模型的定價效率�？梢钥吹絻烧叨季哂休^高定價效率，但修正三叉樹模型的定價效率更高。 本文具體內(nèi)容：闡明研究背景、研究意義；對國內(nèi)外研究進(jìn)行綜述；介紹本文章節(jié)組織結(jié)構(gòu)與研究思路。概述可轉(zhuǎn)債相關(guān)知識；發(fā)展歷史和現(xiàn)狀；可轉(zhuǎn)債常見條款介紹；可轉(zhuǎn)債定價特點分析等；簡要介紹可轉(zhuǎn)債在我國的發(fā)展情況。介紹目前常用傳統(tǒng)定價模型，對比優(yōu)劣；分析在傳統(tǒng)定價模型中具有較高定價效率的傳統(tǒng)三叉樹模型，分析其定價相關(guān)因素：如結(jié)合我國實際數(shù)據(jù)推導(dǎo)出符合我國可轉(zhuǎn)債標(biāo)的股票波動率的計算公式；對嵌入條款進(jìn)行了分析，得到嵌入條款價值的數(shù)學(xué)計算式；然后應(yīng)用到我國目前19支上市可轉(zhuǎn)債的定價中去，運用MATLAB得出模型價格，對比實際價格，算出傳統(tǒng)三叉樹模型定價效率。針對傳統(tǒng)三叉樹模型先驗設(shè)定標(biāo)的股票對數(shù)價格運動規(guī)律問題，結(jié)合我國19支上市可轉(zhuǎn)債2011年中235個交易日的數(shù)據(jù)，推導(dǎo)出適合我國標(biāo)的股票對數(shù)價格運動規(guī)律的關(guān)系式；推導(dǎo)修正三叉樹模型，結(jié)合我國目前19支上市可轉(zhuǎn)債實際數(shù)據(jù)，運用MATLAB進(jìn)行實證檢驗，得出修正三叉樹模型定價效率。對比分析傳統(tǒng)三叉樹模型定價效率與修正三叉樹模型定價效率，模型價格與實際價格差距原因，得到更適合我國可轉(zhuǎn)債定價模型。最后綜合全文得出研究結(jié)論、提煉本文創(chuàng)新點，提出促進(jìn)我國可轉(zhuǎn)債定價模型方法的發(fā)展建議與指出本文研究不足之處。
[Abstract]:Convertible bonds (convertible bonds for short) refer to special company securities issued by issuers in accordance with the law and which can be converted to a certain number of underlying securities according to a certain proportion or price within a certain period. It has excellent financing and investment functions, which makes it one of the fastest growing financial derivatives. In the domestic research on convertible bond pricing for more than 10 years, the common research paths ignore that the assumptions and parameters of foreign models are not suitable in China, which makes the pricing efficiency low. It is of great theoretical and practical significance to develop a pricing model suitable for China's convertible bond market. In general, the main aspects that affect the pricing accuracy of convertible bonds lie in the selection or development of pricing models, the estimation of model parameters, and the mathematical expression of the value of embedded clauses of convertible bonds. Therefore, the following work has been done in this paper: (1) considering the pricing efficiency of China's convertible bond market and the existing models, we select the traditional triple tree model with higher pricing efficiency, and aim at the defects of the model. The relationship of the logarithmic price movement of the underlying stocks of convertible bonds in China is derived and the modified tritree model is derived. (2) the important model parameters are derived: the calculation formula of the volatility of the underlying stocks in China; (3) analyze and deduce the mathematical expression of the value of the embedded clause of convertible bonds in China. These are also the three innovations of this paper, which is the main direction to improve the pricing efficiency of convertible bond model. Based on the above three conclusions, combined with the actual data of 19 convertible bonds listed in China and MATLAB software, the pricing efficiency of the traditional triple tree model and the modified triple tree model is obtained. It can be seen that both of them have higher pricing efficiency, but the modified tritree model is more efficient. The main contents of this paper are as follows: clarify the background and significance of the research; summarize the domestic and foreign studies; introduce the organizational structure and research ideas of this section. This paper summarizes the related knowledge of convertible bonds; the history and present situation of development; introduces the common terms of convertible bonds; analyzes the pricing characteristics of convertible bonds; and briefly introduces the development of convertible bonds in China. This paper introduces the traditional pricing models, compares the advantages and disadvantages, and analyzes the traditional tri-tree models, which have high pricing efficiency in the traditional pricing models. This paper analyzes the factors related to the pricing: such as deducing the calculation formula of the stock volatility according to the actual data of our country, analyzing the embedded clause and obtaining the mathematical formula of the value of the embedded clause; Then it is applied to the pricing of 19 convertible bonds in our country at present. The model price is obtained by using MATLAB, and the pricing efficiency of the traditional triple tree model is calculated by comparing the actual price. Aiming at the law of logarithmic price movement of stocks with traditional tri-tree model, combined with the data of 235 trading days in 2011 of 19 listed convertible bonds in China, the relationship formula suitable for the logarithmic price movement of underlying stocks in China is derived. Based on the actual data of 19 convertible bonds listed in China, this paper deduces the modified tritree model and makes an empirical test by using MATLAB to obtain the pricing efficiency of the modified tritree model. By comparing and analyzing the pricing efficiency of traditional tritree model and modified tritree model, the difference between model price and actual price is analyzed, and a more suitable pricing model for convertible bonds in China is obtained. Finally, the conclusion is drawn, the innovation of this paper is abstracted, the suggestions to promote the pricing model of convertible bonds in China are put forward, and the deficiencies of this study are pointed out.
【學(xué)位授予單位】：北京物資學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224
[Abstract]:Convertible bonds (convertible bonds for short) refer to special company securities issued by issuers in accordance with the law and which can be converted to a certain number of underlying securities according to a certain proportion or price within a certain period. It has excellent financing and investment functions, which makes it one of the fastest growing financial derivatives. In the domestic research on convertible bond pricing for more than 10 years, the common research paths ignore that the assumptions and parameters of foreign models are not suitable in China, which makes the pricing efficiency low. It is of great theoretical and practical significance to develop a pricing model suitable for China's convertible bond market. In general, the main aspects that affect the pricing accuracy of convertible bonds lie in the selection or development of pricing models, the estimation of model parameters, and the mathematical expression of the value of embedded clauses of convertible bonds. Therefore, the following work has been done in this paper: (1) considering the pricing efficiency of China's convertible bond market and the existing models, we select the traditional triple tree model with higher pricing efficiency, and aim at the defects of the model. The relationship of the logarithmic price movement of the underlying stocks of convertible bonds in China is derived and the modified tritree model is derived. (2) the important model parameters are derived: the calculation formula of the volatility of the underlying stocks in China; (3) analyze and deduce the mathematical expression of the value of the embedded clause of convertible bonds in China. These are also the three innovations of this paper, which is the main direction to improve the pricing efficiency of convertible bond model. Based on the above three conclusions, combined with the actual data of 19 convertible bonds listed in China and MATLAB software, the pricing efficiency of the traditional triple tree model and the modified triple tree model is obtained. It can be seen that both of them have higher pricing efficiency, but the modified tritree model is more efficient. The main contents of this paper are as follows: clarify the background and significance of the research; summarize the domestic and foreign studies; introduce the organizational structure and research ideas of this section. This paper summarizes the related knowledge of convertible bonds; the history and present situation of development; introduces the common terms of convertible bonds; analyzes the pricing characteristics of convertible bonds; and briefly introduces the development of convertible bonds in China. This paper introduces the traditional pricing models, compares the advantages and disadvantages, and analyzes the traditional tri-tree models, which have high pricing efficiency in the traditional pricing models. This paper analyzes the factors related to the pricing: such as deducing the calculation formula of the stock volatility according to the actual data of our country, analyzing the embedded clause and obtaining the mathematical formula of the value of the embedded clause; Then it is applied to the pricing of 19 convertible bonds in our country at present. The model price is obtained by using MATLAB, and the pricing efficiency of the traditional triple tree model is calculated by comparing the actual price. Aiming at the law of logarithmic price movement of stocks with traditional tri-tree model, combined with the data of 235 trading days in 2011 of 19 listed convertible bonds in China, the relationship formula suitable for the logarithmic price movement of underlying stocks in China is derived. Based on the actual data of 19 convertible bonds listed in China, this paper deduces the modified tritree model and makes an empirical test by using MATLAB to obtain the pricing efficiency of the modified tritree model. By comparing and analyzing the pricing efficiency of traditional tritree model and modified tritree model, the difference between model price and actual price is analyzed, and a more suitable pricing model for convertible bonds in China is obtained. Finally, the conclusion is drawn, the innovation of this paper is abstracted, the suggestions to promote the pricing model of convertible bonds in China are put forward, and the deficiencies of this study are pointed out.
【學(xué)位授予單位】：北京物資學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224
【參考文獻(xiàn)】
相關(guān)期刊論文 前10條
1 鄭振龍,林海;可轉(zhuǎn)換債券發(fā)行公司的最優(yōu)決策[J];財經(jīng)問題研究;2004年11期
2 鄭振龍,康朝鋒;中國可轉(zhuǎn)債市場效率的隨機占優(yōu)檢驗[J];當(dāng)代財經(jīng);2004年03期
3 鄭振龍,康朝鋒;可轉(zhuǎn)債投資對股票投資的絕對占優(yōu):中國可轉(zhuǎn)債市場效率的一個反例[J];當(dāng)代財經(jīng);2005年05期
4 秦學(xué)志,吳沖鋒;可贖回的可轉(zhuǎn)換債券的博弈定價方法[J];系統(tǒng)工程;2000年05期
5 王承煒,吳沖鋒;上市公司可轉(zhuǎn)換債券價值分析[J];系統(tǒng)工程;2001年04期
6 馬超群,唐耿;引入信用風(fēng)險的可轉(zhuǎn)債定價模型及其實證研究[J];系統(tǒng)工程;2004年08期
7 孟衛(wèi)東;陳浩文;;引入信用風(fēng)險的我國可轉(zhuǎn)換債券定價實證研究[J];系統(tǒng)工程;2008年10期
8 劉大巍;陳啟宏;張
本文編號：2183520
本文鏈接：http://www.sikaile.net/guanlilunwen/bankxd/2183520.html
最近更新
教材專著
