文档介绍：湖南大学
硕士学位论文
可转换债券价值拆解及其定价研究
姓名:赵峰
申请学位级别:硕士
专业:技术经济及管理
指导教师:张玲
20050324
硕士学位论文
摘要
可转换债券,是指发行人依照法定程序发行,在一定期间内依据约定条件可
以转换成股份的公司债券。这种兼具债权和股权性质的金融工具自诞生起就受到
了全球投资人和融资者的广泛关注。我国可转债的发展起于年,经过十多
年的发展,无论是从发行数量还是发行规模上来讲,可转债市场都取得了长足的
发展。
本文首先回顾了可转换债券在国内外的发展和现状,总结了世纪年
代以来国外在可转换债券价值理论的研究成果和我国学者对可转债进行的相关探
索。随后,本文由可转换债券的基本概念入手,分析了可转债的价值特征及其价
值影响因素。在此分析基础上,本文尝试将可转债的价值拆解为纯债券价值和期
权价值两部分,并依此形成一种新的金融互换产品,进而阐述该产品的交易过程
和相关合约的模拟条款及该产品对我国证券市场发展的现实意义。
上述拆解形成的金融产品付诸实施的关键是如何对其价值进行评价。故此
本文尝试将和的估值方法与传统的折现法相结合,分别对
拆解形成的期权价值和纯债券价值进行定价,最终将两部分价值加总即得出可转
债的价值。本文以示例说明了上述方法,同时依据该定价方法对我国上市交易的
只可转债进行了实证研究。通过实证研究本文得出了一些有关我国可转债市场
的现状分析。
关键词:可转债价值拆解;可转债定价; 期权定价法
I
可转换债券价值拆解及其定价研究
Abstract
Convertible bonds are the bonds that are issued by pany, according to the due
course of law, and that can be changed into shares of pany under the appointed
conditions during a certain period . This kind of financial instrument, bines
the characters of bonds and stocks together, gets extensive attentions of investors and
factors all around the world since it’s issued. In our country, The issue of convertible
bonds starts in 1992, and the market of convertible bonds had made great progress in
issuing amount and issuing scale in more than ten years since that time.
Firstly, This paper reviews the development of convertible bonds at home and
abroad,and summarizes the researches on the valuation of convertible bonds done by
the foreigners and Chinese since the seventies of the 20th century. Then, this paper
presents the basic conception of convertible bonds, and analyzes the characters of the
value of CBs and the factors having influence on its value. Based On the analysis above,
this paper tries to disassemble the value of convertible bonds as two parts: one is the
value of the straight bonds and the other is the value of options. So according to the
disassembling, this paper gets