【作者】 周璐；

【导师】 于春红；

【作者基本信息】 哈尔滨工程大学 ， 金融学， 2007， 硕士

【摘要】 可转换债券定价高低直接影响到发行人的融资成本和投资人的获利空间。选择一种适用于我国现状的可转换债券定价模型既是投融资者迫切的愿望，也是我国资本市场发展的急切需要。本文首先回顾了可转换债券在全球的发展，并对国内外相关研究文献进行研究。随后，在分析了我国可转换债券的特征、价值构成和详细的条款后，本文对可转换债券所内含的债券、期权及其组合价值进行具体分析和定量研究。此外，本文还对相应模型进行修正，增加了对可转换债券内含的红利因素、回售条款、赎回条款等多种条款价值的量化分析。为了检验修正后的定价模型的合理性，本文选取12只在上海和深圳证券市场上市交易的可转换债券作为样本，对中国可转换债券市场进行了实证研究。可转换债券的市场价格和本文利用解析方法及数值方法计算的各个可转换债券的理论价值非常接近。虽然有小部分可转换债券存在一定幅度的价值低估情况，但整体上，本文的定价模型能够很好的解释可转换债券的价值构成，并可用于比较准确的确定可转换债券的市场价格。为了更好的指导实践，本文通过回归模型得出修正后的可转换债券的理论价格与可转换债券的实际价格是极度相关的，得出其相关关系式，已知可转换债券的理论价格就能知其实际价格，可以对可转换债券的实际价值进行预测。在文章的最后指出可转换债券理论价格与实际价格存在差额的原因及对我国可转换债券市场的建议。更多还原

【Abstract】 The overpricing or underpricing of Convertible Bonds will affect the financing cost to issuers and the profit of the investors. The Convertible Bonds maket of China is developing quickly nowadays. It is necessary to choose a suitable model to Convertible Bonds pricing of Chinese market.This thesis firstly reviews the development of convertible bonds in the world, by analyzing the research on convertible bonds. After carefully analyzing the property of convertible bonds, structure of value and detailed provisions, this thesis research on the intrinsic bonds, options and their combined value. To the value of bonds, market interest rate containing risk is used for discounting pricing; while to the value of options, classical Black-Scholes model are employed for pricing. Moreover, this thesis mainly revises the model by quantifying all the provisions, such as put provision, call provision and so on.In order to check the veracity of convertible bonds’value, this thesis selects 12 convertible bonds from Shanghai and Shenzhen security markets, empirically studies China’s convertible markets. This thesis concludes that the theoretical price calculated by the model presented by this thesis is very close to the real price in the market. Although some of convertible bonds in some special industries are underestimated by the market, as a whole, the thesis’s model can explain the value structure of the convertible bonds, and be used to fairly precise pricing of convertible bonds.In order to lead practice, this thesis use return model to caculate the relativity of theories price and market price.In the end provide some advice to the convertible bonds market of china.更多还原