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在考虑了企业市场价值波动和利率及其期限结构的波动及两种波动之间的相关性的基础上 ,本文提出了一种可转换债券无套利定价的离散时间模型 .通过研究它与连续时间模型之间的关系 ,证明了这一模型的合理性 ,并得到了参数估计方法 .结合可转换债券的价值边界条件 ,就可以用这一定价模型计算出可转换债券的定价了 .作为离散时间模型 ,这一定价方法可适应可转换债券条款多变的特点 ,并在计算机上能方便实现 .
Considering the fluctuation of enterprise market value, the volatility of interest rate and its term structure and the correlation between the two volatilities, this paper presents a discrete time model of convertible bond-free arbitrage pricing. Model, the rationality of this model is proved and the parameter estimation method is obtained.Combined with the value boundary conditions of convertible bonds, the pricing model can be used to calculate the price of convertible bonds.As the discrete time Model, this pricing method can be adapted to the changing characteristics of convertible bonds, and can be easily implemented on the computer.