可转换债券的交换期权定价模型

A Pricing Model of Convertible Bond in Light of Exchange Option

可转换债券是一种内含期权结构的特殊金融产品。通过对可转换债券内含期权性质的研究 ,发现可转换债券内含的将债券转换成股票的期权不是一般的标准期权 ,而是一种期权的买方有权将一个资产转化为另一个资产的奇异期权———交换期权。以往对可转换债券的定价研究 ,很少对可转换债券内含期权的这一特点加以重视。因此 ,从对交换期权的定价角度入手 ,通过分别对构成可转换债券的无期权债券和期权的定价方法 。

Convertible Bond is uncommon for its option incorporated structure.By studying the nature of incorporated option,it is clear that incorporated option is not a standard option,but an exotic option called Exchange Option.Pricing models of convertible bond has seldom involved this point before.They simply regarded the option incorporated with convertible bond as a standard option.So there is need to improve the pricing model significantly in light of Exchange Option under the conditions of Vesicek model.