论文总字数：45085字

摘 要

基于其股权和债权的双重特性，公司可转换债权作为一类特殊的金融衍生品，不断地吸引着中外 研究者的目光，尤其是对可转债定价的研究层出不穷。本文主要运用了Black Sholes期权定价模型以及二叉树理论模型进行实证演练，研究了 2019年1月2日至5月10日国内交易的五只可转换债券的定价问题。本文所用到的数据主要来自于深圳交易所官网以及CCER，共860组数据。利用软件MATLAB我们发现，基于Black Sholes期权定价模型的平均偏差率为12.196%，抛开奇异点的基于二叉树模型的平均偏差率为7.75%。由此可见，针对本文的五只可转换债券，二叉树为更佳的模型。造成的定价偏差可能是因为没有考虑到投资者风险偏好以及向下修正条款的影响。

关键字：可转换公司债券 Black Sholes期权定价模型 二叉树理论模 定价研究 平均偏差率

Pricing of Convertible Bonds

——based on random Black-Sholes and Binary Tree Model

Abstract

As a special kind of financial derivative, convertible credits continue to attract the attention of national and foreign researchers due to the dual characteristics of their equity and creditor rights, especially the research on the pricing of convertible bonds. This paper mainly uses the Black Sholes option pricing model and the binary tree theory model to empirically analyze the prices of five convertible bonds represented by domestic transactions from January 2, 2019 to May 10, 2019. In this paper, there are 860 sets of date, which are come from the Shenzhen stock exchange website and CCER. Using the software MATLAB, it is found that the average deviation rate based on the Black Sholes option pricing model is 12.196%, and the average deviation rate based on the binary tree model with singularity is 7.75%. Accordingly, it can be known that the binary tree is a better model for the five convertible bonds selected in this paper.The reason for pricing deviation may be that investors ‘risk preference and downward revision clauses are not taken into account.

Keywords: Convertible bond; Black Sholes Option Pricing Model; Binary Tree Theory Model; Empirical analysis; Pricing Research; Average deviation rate

目 录

摘 要............................................................................................ ..............I

ABSTRACT...............................................................................................II

第一章 引言........................................................................................1

1.1研究背景………………………………………………………………...1

1.1.1 国外可转债研究………………………………………….……...1

1.1.2 国内对可转债的主要研究………………………………....……2

1.1.2 小结…………………………………………………..………..……..3

1.2 本文的研究方法与意义………………………………………………..4

第二章 可转换债券概述.....................................................................5

2.1 可转换债券的定义及基本概念………………………………………..5

2.2 影响可转换公司债券的因素……………………………………....…..6

第三章 模型理论概述.......................................................................10

3.1 Black-Sholes定价模型…………………………………..….....……….10

3.1.1 基本假设………………………………………….………………10

3.1.2 理论模型………………………………………………….………10

3.2二叉树定价模型……………………………...………….……..………12

3.2.1 单期二叉树定价模型……………………….…………...……...12

3.2.1 两期二叉树定价模型……………………………….…...……...13

第四章 实证分析...............................................................................16

4.1 样本选取…………………………………………………………..…...16

4.2 利用Black-Sholes模型的实证分析………………….....………..…...19

4.2.1 BS定价公式的可行性分析……………………………..……..19

4.2.2 纯债券部分的计量……………………………………..……....19

4.2.3 确定波动率………………………………………….....……….20

4.2.4普通BS定价公式的实证分析——伟明环保为例……..……..21

4.2.5基于改良模型的Black-Sholes公式实证分析……….....…..…24

4.3 二叉树定价………………………………………………………..…...26

第五章 结论与展望.................................................................................30

5.1 结论………………………………………………………..………….30

5.2 展望………………………………………………………....………...30

参考文献............................................................................................31

致谢..................................................................................................33

请支付后下载全文，论文总字数：45085字