本文選題：可轉(zhuǎn)債定價(jià)　切入點(diǎn)：仿射交易成本　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：可轉(zhuǎn)換債券(Convertible bond, CB,簡稱“可轉(zhuǎn)債”)是一種具有債券和股票雙重特征的復(fù)合融資工具。對可轉(zhuǎn)債的發(fā)行公司而言,其利率一般比普通債券低,這樣就能降低公司的籌資成本。對可轉(zhuǎn)債的投資者來說,這種債券既能在保證獲得基本的債券利息基礎(chǔ)上,又能獲得股價(jià)上漲而實(shí)施轉(zhuǎn)股所得的潛在資本利得收益。因此,近年來我國的可轉(zhuǎn)債市場發(fā)展比較迅速。然而,可轉(zhuǎn)債也像期權(quán)那樣是舶來品,在國內(nèi)的發(fā)展只有近二十年的歷史,所以我國的可轉(zhuǎn)債定價(jià)研究相對薄弱。 針對我國可轉(zhuǎn)債市場的發(fā)展?fàn)顩r,本文借鑒了前人研究的等比例交易成本可轉(zhuǎn)債定價(jià)模型,結(jié)合實(shí)際可轉(zhuǎn)債轉(zhuǎn)股后的交易中確實(shí)存在最低交易成本的情況,因而本文用仿射交易成本去替代原模型的等比例交易成本。改進(jìn)后的模型雖然在推導(dǎo)的過程中難度增加了,但是更能接近可轉(zhuǎn)債轉(zhuǎn)股后的實(shí)際交易成本,從而使其定價(jià)更加準(zhǔn)確。此外,為了驗(yàn)證本文改進(jìn)后模型的效果,本文選取了萬科轉(zhuǎn)債做了實(shí)證研究。比較了其對應(yīng)的股票萬科A在原模型和本文模型中計(jì)算出來的傭金交易成本,結(jié)果顯示本文模型算出來的傭金交易成本與真實(shí)的傭金交易成本誤差較小,而原模型算出來的傭金交易成本與真實(shí)的傭金交易成本誤差較大。在實(shí)證結(jié)果的基礎(chǔ)上,本文提出了一些改進(jìn)最低傭金交易成本的建議。 本文由五個(gè)部分組成,第一部分回顧了國內(nèi)外可轉(zhuǎn)債定價(jià)理論的發(fā)展進(jìn)程和研究成果。第二部分和第三部分介紹了可轉(zhuǎn)債的基本概念和可轉(zhuǎn)債定價(jià)常用的一些研究方法。第四部分在伊藤引理,無套利定價(jià)理論(APT)和期權(quán)定價(jià)理論(0PT)的基礎(chǔ)上推導(dǎo)出了本文的仿射交易成本可轉(zhuǎn)債定價(jià)模型。第五部分對比分析了原模型與本文模型計(jì)算出來的傭金交易成本與實(shí)際的傭金交易成本的誤差率和誤差額大小。
[Abstract]:Convertible bond (CBs) is a compound financing tool with the characteristics of bond and stock.For convertible bond issuers, the interest rate is generally lower than ordinary bonds, thus reducing the company's funding costs.For convertible bond investors, this bond can not only guarantee the basic bond interest, but also gain the potential capital gains from the stock price rise.Therefore, China's convertible bond market has developed rapidly in recent years.However, convertible bonds, like options, are imported and developed in China for only 20 years, so the pricing research of convertible bonds in China is relatively weak.In view of the development of the convertible bond market in China, this paper draws lessons from the pricing model of equal-proportion transaction cost convertible bond, and combines with the situation that the minimum transaction cost does exist in the transaction after the actual convertible bond is converted into stock.Therefore, the affine transaction cost is used to replace the equal-proportional transaction cost of the original model.The improved model is more difficult to deduce, but it is more close to the actual transaction cost of convertible bond to equity, which makes the pricing more accurate.In addition, in order to verify the effect of the improved model, this paper selects Vanke debt to do empirical research.This paper compares the commission transaction cost calculated by the corresponding stock Vanke A in the original model and the model in this paper. The results show that the error between the real commission transaction cost and the real commission transaction cost calculated by this model is small.But the original model calculates the commission transaction cost and the real commission transaction cost error is big.Based on the empirical results, this paper puts forward some suggestions to improve the minimum commission transaction cost.This paper consists of five parts. The first part reviews the development process and research results of convertible bond pricing theory at home and abroad.The second part and the third part introduce the basic concept of convertible bond and some common research methods of convertible bond pricing.In the fourth part, the pricing model of affine transaction cost convertible bonds is derived on the basis of Ito Lemma, APT and option pricing theory.In the fifth part, the error rate and margin of error between the original model and this model are compared with the actual commission transaction cost.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.91;F224

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本文編號：1716359