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从可转换债券所蕴含的期权特性出发,将投资者对标的股票的投资价值分析纳入决策框架.基于多阶段情景树模型,考虑投资者在情景树的节点进行转股决策;构建出存在市盈率机会约束的0-1整数机会规划,并利用邯钢转债的历史数据进行实证分析.得出如下结论:对邯钢转债而言,能以95%的概率水平确保在整个转股期间持有可转换债券,以获得稳定投资收益为最优决策;与传统的金融期权相比,由于存在投资价值的机会约束,基于0-1整数机会规划的金融期权价值存在有限上限,从而限制了投资者的投资风险.
Based on the characteristics of options embedded in convertible bonds, the investor’s investment value analysis of the underlying shares is put into the decision-making framework.Based on the multi-stage scenario tree model, investors are considered for the conversion of shares in the nodes of the scenario tree. Constrained 0-1 integer opportunity planning and use of historical data of Handan Iron and Steel Convertible Bonds empirical analysis concluded that the Handan Iron and Steel Convertible bonds, 95% probability level to ensure that held during the entire conversion period Convertible bonds, in order to obtain a stable return on investment as the optimal decision; compared with the traditional financial options, due to the opportunity of investment value constraints, there is a limited upper limit of the value of financial options based on 0-1 integer opportunity planning, thus limiting the investors Investment risk.