基于“徐工转债”的可转债发行定价问题研究

Research on the Pricing of Convertible Bonds based on XCMG Convertible Bonds

2017年随着中国证监会对上市公司非公开发行股票和证券发行与承销管理等政策的修订,可转债迎来了前所未有的发展良机。本文以徐工转债为案例,利用B-S模型、二叉树模型、蒙特卡洛模拟法等三种定价方法来对比研究,找出了符合实际的最优发行定价模型;同时,对当前可转债发行定价存在的问题进行了分析并提出了建议。本文的研究对可转债从面值发行向市场化灵活定价发行的改革探索具有一定的参考价值。

In 2017,with the revision of China Securities Regulatory Commission’s policy on non-public offering of shares,securities issuance and underwriting management,convertible bonds ushered in an unprecedented opportunity for development.In this paper,XCMG bonds as the case,using the B-S model,two binary tree model,Monte Carlo simulation method of three kinds of pricing methods to comparative study,find out the optimal pricing model in line with the actual;at the same time,the current issue of convertible bonds pricing problems were analyzed and suggestions.The research of this paper has certain reference value for the reform of convertible bonds from the issue of par value to market-oriented flexible pricing.