基于LSM模型的中国可转换债券定价分析

【作者】 王健；

【导师】 张奇；

【作者基本信息】 复旦大学 ， 金融（专业学位）， 2013， 硕士

【摘要】 可转债是一种复杂的金融衍生产品,含有多种内嵌期权,是典型的路径依赖型证券。随着我国可转债市场不断发展,对可转债进行合理定价的研究将会给发行公司和投资者分析可转债的价值提供依据。本文采用LSM模型,综合考虑转股价格向下修正条款、有条件的赎回及回售条款,对可转债定价进行了理论分析及实证研究,并对LSM模型进行了适当的改进,以期获得预测可转债价格的效果。本文首先对国内外的可转债定价理论和模型进行了细致的梳理,并介绍了和LSM模型相关的理论发展。然后介绍了可转债的基本概念和中国的可转债市场,在此基础上用LSM模型对我国的可转债进行了定价分析,并研究了波动率和信用风险对LSM模型的适用性。而后针对无风险利率和波动率两个要素对LSM模型进行了改进,并研究了它们对于可转债价格的敏感性。最后通过实证得到了LSM的近似模型——线性回归模型。本文的理论意义在于找出适合中国可转债市场的定价模型,而实际和现实意义在于通过这样的模型对未来的可转债价格进行预测,进而获得正确的投资决策。更多还原

【Abstract】 Convertible bond is a complicated financial derivatives, which involves many types of embedded options and is a typical security of path-dependence. With the development of domestic market of convertible bond, researches on reasonable pricing of convertible bond is more and more useful for the issuing corporations and investors to analyze the value of convertible bond. Considering provisions like downward revisions of conversion price, conditional redemption and reclaim, this article used LSM model to do theoretical and empirical analysis on the pricing of convertible bond, and properly improved LSM model to try to predict the future price of convertible bond.This article firstly introduced foreign and domestic theories on the pricing of convertible bond and relative theoretical development of LSM model. Then, after we introduced the basic concept of convertible bond and the market of convertible bond in China, we used LSM model to analyze the pricing of convertible bond in China and the applicability of volatility and credit risk. Also, we improved LSM model on risk-free interest rate and volatility. Finally, through empirical study we obtained the linear regression model as the approximate model of LSM model.The theoretical significance of this article is to find out a pricing model which is suitable to convertible bond in China. And the practical significance of this article is to predict future price of convertible bond using this model and to make correct investment strategy.更多还原