搜索
20042()No.22004(162)JOURNALOFXIAMENUNIVERSITY(Arts&SocialSciences)GeneralNo.162X,(,361005):,,,,,,,,,:;;:F830.91:A:0438-0460(2004)02-0093-07,:(),(),(),(),,,:1.,,2.,3.,(),,,,39X:2003-11-28:2003(03JB790016);;()(2003B069):(1966-),,,,;(1977-),,,,©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1]Ingersoll[2]()BrennanSchwartz[3][4][5],,,,,,[6],,,KwokLau[7],,,,,TsiveriotisFernandes[8],,,Nelkon(1998)[9],,,Wu[10][11][12],,[6],,,,1::[6]2:,,,,,:1,,49©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,:,,,,,(),:,4::,30-60,[6]5:,:[6],,,,,,,W:++,W=(StN(d1)-X(V/FV)e-r(T-t)N(d2))(FV/X)+(V+I)e-r(T-t)=St(FV/X)N(d1)-Ve-r(T-t)N(d2)+(V+I)e-r(T-t)d1=[ln(FVSt/(XV))+(r+22)(T-t)T-t,r,St=St(FV/X),W=(StN(d1)-Ve-r(T-t)N(d2)+(V+I)e-r(T-t),d1=[ln(St/V)+(r+22)(T-t)T-t,d2=d1-T,5W5St0,5W5X0W=P2(),X59,X,XV/FV,,()()1[13]©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,:dS/S=rdt+dzt,,:5P5t+152P25S22-rp+r5P5t=0:1.t,Yt=max(St(FV/Xt),P1),St(FV/Xt),P1;2.,Xt:P2=(StN(d1)-Ve-r(T-t)N(d2)+(V+I)e-r(T-t),St=100St/Xt,dt=[ln(St/V)+(r+22)(T-t)T-t,d2=d1-T3.,T:(1),YT=max(St(FV/Xt),V);(2),YT=max(ST(FV/XT,P2),,,PTSTFV/XtBt,,,,,,0,0,1169,20%,©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),:,52.66%,0.78%,(historicalvolatility),,,,,,,,,,5,,GARCH(1,1),1143%38%39%34%37%32%41%36%38%33%30%25%40%35%32%27%35%30%38%33%43%38%,,(1)(2)(3),(4),,2.5%,0.98%79Hull[15],5[14]©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(15.7),,,,10%,,,21(BS)234(11.43)128.06120.64121.36121.98101.90(8.8)116.37112.74114.48115.3496.39(11.73)122.63117.93119.09119.1299.29(11.49)122.74118.09119.32119.3798.58(10.28)127.48124.53125.35125.79109.88(10.47)124.16120.00121.50121.58100.01(5.84)133.98125.34125.34129.07100.42(8.28)120.8116.46117.21117.3398.52(10.1)123.30118.60121.17121.19101.06(3.31)123.03118.27120.36120.3999.20(8.17)128.71121.41123.11125.87104.29:2003611,,10%-20%,,,,,,,,,,,,,89(1),,,(10%),(15%)(30%),,©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1]BRENNAN,M.J.andE.S.SCHWARTZ.ConvertibleBonds:ValuationandOptimalStrategiesforCallandConversion[J].JournalofFinance32,1699-1715,1977.[2]INGERSOLL,J..AContingentClaimsValuationofConvertibleSecurities[J].JournalofFinancialEconomics4,289-322,1977.[3]BRENNAN,M.J.andE.S.SCHWARTZ.AContinuousTimeApproachtothePricingofBonds[J].JournalofBankingandFinance3,133-155,1979.[4]BRENNAN,M.J.andE.S.SCHWARTZ.AnalyzingConvertibleBonds[J].JournalofFinancialandQuantitativeAnaly2sis15,907-929,1980.[5]BRENNZN,M.J.andE.S.SCHWARTZ.theCasesforConvertibles[J].JournalofAppliedCorporateFinance1,55-64,1988.[6],.[EB/OL].[7]KWOK,Y.K.andK.W.LAU1PricingAlgorithmsforOptionswithExoticPathDependence[J].JournalofDerivatives,9,28-38,2001.[8]TSIVERIOTIS,K.andC.FERNANDES.ValuingConvertibleBondswithCreditRisk[J].JournalofFixedIncome,95-102,1998.[9]NELKON,I.ReassessingtheReset[J].Risk,October,36-39,1998,[10]WU,QIANLI.TheConvertibleBond:APossibleSolutiontotheProblemofReducingStateOwnershipintheChineseStockMarket[J].Perspectives,vol.3,No.4.,2002.[11],.[M]1:,2002.[12].[A]12003[C]1:,2003.[13],.[J].,2003,(6).[14],.[J].,2003,(3).[15]HULL,J.C.Options,FuturesandOtherDerivatives[M].PrenticeHall.,2001.[:]OnthePricingofConvertibleBondsinChinaZHENGZhen2long,LINHaiAbstract:Convertiblebonds(CB)arederivativesofcreditofarathercomplicatedkind.Besidestherightsofordinarycredi2tors,CBscontainmanyoptions,suchasconversionoption,calloption,putoptionandoptiontolowertheconversionprice.ThecomplexityofclausesinCBsresultsinthedifficultiesofCBpricing.Byusingthebasictheoriesandmethodsoffinancialengineer2ingandtakingintoaccountthecharacteristicsofCBsinChina,itispossibletoconstructapricingmodelforCBpricinginChina.ThispaperisastudyofthereasonablepriceofCBsinChinathroughestimationofspecificparametersbasedonsuchamodel.Itshowsthat,comparedwiththetheoreticalprices,CBsinChinaaresignificantlyunderpriced.Keywords:convertiblebonds,assetpricing,path2dependentoption99©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.