论文部分内容阅读
可转换债券是一种含有奇异期权的公司债券。为了给可转换债券提供一种精确的定价方法,引入了最小二乘Monte Carlo模拟法,处理美式和路径依赖型奇异期权的定价问题。用这种定价方法,计算出中国市场上现有的24种可转债的理论价格,并与市场价格进行了比较。实证结果表明:该方法的平均定价误差在时间序列和横截面上都不超过1%,并且它的标准差约为2%。这说明:本方法在中国可转债定价中优于其他数值方法;中国的可转债市场存在套利机会。
Convertible bonds are a kind of corporate bonds that contain exotic options. In order to provide an accurate pricing method for convertible bonds, a Least Square Monte Carlo simulation method is introduced to deal with the pricing of American and path-dependent singular options. Using this pricing method, the theoretical price of the 24 existing convertible bonds in the Chinese market is calculated and compared with the market price. The empirical results show that the average pricing error of this method does not exceed 1% in time series and cross section, and its standard deviation is about 2%. This shows that this method is superior to other numerical methods in the pricing of convertible bonds in China; arbitrage opportunities exist in the convertible bonds market in China.