【摘要】 本文首先对可转换债券的性质及其相关内容进行了深入分析,并给出影响其发行效果的 Rate-Price组合模型.然后,在详细考察标的变量—利率和股票价格行为特征的基础上,运用无风险套利原理推导出关于可转换债券的双因素定价模型,其特例便是著名的Black-Scholes模型.更多还原

【Abstract】 This paper analyses the characteristics of convertible bond(CB) and factors affecting CB.and Rate-price model that influences the issuance effect of CB is presented. Based upon the study of CB’s underlying variables: interest rate and stock, the two-factors pricing model of CB is derived through no-arbitrage principle.更多还原