文档介绍：对外经济贸易大学
硕士学位论文
我国分离交易可转债定价的实证分析
姓名:宋佳
申请学位级别:硕士
专业:金融学
指导教师:张玮
20080501
摘要
本文分五部分概述我国分离交易可转债并对其定价进行实证分析。本文第一
部分首先对分离交易可转债的产生时间、背景及在我国发展的现状进行简要的介
绍,接着回顾了以往研究的成果和方法。第二部分对分离交易可转债从定义、分
类、优点及其与可转换公司债相比的不同点等方面进行概述。第三部分对分离交
易可转债定价理论的进行阐述,并以这些理论为指导进行下一部分的实证研究。
第四部分分别对分离交易可转债的纯债部分和认股权证部分的定价进行实证分
析。通过运用 B-S 模型,蒙特卡罗模拟及其对偶方差削减方法来对认股权证部分
进行估值比较,并分析了理论价格与实际价格存在差距的原因。最后一部分对全
文进行总结,给出实证研究的主要结论并指出本文的不足。
关键词:分离交易的可转换公司债,定价,Black-Scholes 模型,蒙特卡罗模拟
I
Abstract
There are five chapters in this paper to analysis the Chinese convertible bond with
detachable warrants and its pricing method. In chapter one, at the beginning, this
thesis briefly reviews when the Chinese detachable convertible bonds was born,its
background and development. And then,it reviews the existed literature about study
posed by Chinese and foreign scholars on pricing options. Then, in
chapter two, it introduces the Chinese detachable convertible bonds from definition,
classification, merit pare it with mon convertible bonds. After that,
in the chapter three, the paper introduces some models and theories about pricing this
kind of derivatives and the following positive study was carried out based on these
theories. The following chapter, it prices the bond and warrants separately about four
listed detachable convertible bonds. By B-S model, Monte Carlo simulation method
and the Antithetic Variance reduction method, there are several series of theory prices.
Then pares the difference between the real and theory prices and analyses the
reason. At last, it summarizes the paper, gives the main conclusions of the positive
study and points out the shortage of the article.
Keywords:Convertible Bond with Detachable Warrants, Pricing, Black-Scholes
Model, Monte Carlo Simulation
II
学位论文原创性声明
本人郑重声明:所呈交的学位论文,是本人在导师的指导下,
独立进行研究工作所取得的成果。除文中已经注明引用的内容
外,本论文不含任何其他个人或集体已经发表或撰写过的作品成
果。对本文所涉及的研究工作做出重要贡献的个人和集体,均已
在