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金融产品的定价,是金融工程研究的核心问题之一,同样可转换债券的定价也引起国内外学者们的关注.本文试图借鉴国内外研究成果,在分析股价及利率特性的基础上,运用推导出基于股价和利率的双因素定价模型;从中国实情出发,运用广义自回归条件异方差模型(简称GARCH)得出长期波动率,通过将可转债条款转化为边界终值条件并利用数值方法对可转债定价.
The pricing of financial products is one of the core issues in the financial engineering research, and the pricing of convertible bonds also arouses the concern of domestic and foreign scholars.This paper attempts to draw lessons from domestic and foreign research results, based on the analysis of stock price and interest rate characteristics, A two-factor pricing model based on stock price and interest rate is proposed. Based on China’s realities, long-term volatility is obtained by using generalized autoregressive conditional heteroscedasticity model (GARCH). By converting the terms of convertible bonds into the final value of the boundary conditions and using numerical methods Pricing convertible bonds.