二项式模型在我国可转换债券定价中的应用

The Application of Binomial Model to the Pricing of Convertible Bond in China

可转换债券是一种兼具股权性和债权性的组合金融工具,它兼有普通债券的安全性与股票的收益性的双重特点。然而,转债的这种特点决定了它的价值评定较为复杂。由于转债价值结构的复杂性,用解析的方法无法对其定价。根据我国可转换债券的特点,运用二项式模型,用数值的方法对其定价,能在一定程度上帮助我国投资者了解可转换债券投资。

Convertible bond is an integrated financial derviative,which not only has the character of corporation bonds,but also has the character of options.But the pricing,which lies on the character of convertible bonds,is complex.By using the bionomial model,we can price convertible bonds in numeric manner,which is very helpful for investors to inest convertible bonds in China.