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利用对冲的方法建立付息的可回售可赎回可转换债券定价模型,并利用反应扩散方程求解,得到付息可赎回可转换债券定价解析式。分析结果表明,付息可赎回转债可拆解为四部分:普通债券、美式以回售价为执行价格普通债券为标的的下降敲入看跌期权、美式以赎回价与转化价格比率为执行价格以普通债券为标的的上升敲入看跌期权、欧式以股票为标的以转换价格与债券收益率之积为执行价格的看涨期权。本文最后对付息可回售可赎回可转换债券的理论价值关于各参数进行了弹性分析。
The hedging method is used to establish the repurchaseable convertible bond convertible bond pricing model with interest payment, and the reaction diffusion equation is used to solve it, and the pricing analytical formula of convertible convertible convertible bond is obtained. The analysis shows that the convertible bonds can be disassembled into four parts: ordinary bonds, American with the selling price of the ordinary bonds as the strike price of the underlying knock-on put options, the American redemption price and the conversion price ratio The strike price is based on a common bond as the underlying call puts the put option on a European equity-to-call option with the product of the conversion price and the bond yield as strike price. The last part of this paper deals with the theoretical value of the convertible bonds that can be salvaged under repurchase agreements with respect to various parameters.