股权分置改革预期下的可转换债券定价问题

Pricing Convertible Bonds Under Expectation of Ownership-Split Reform

股权分置改革是我国证券市场最有特色的一项工作,可转换债券作为股票和利率的衍生产品,在股权分置改革中,却不能获得任何补偿,在Black-Scholes框架下,利用偏微分方程的方法,给出可转换债券的定价公式.

Ownership-split reform is one of the most characteristic financial projects in Chinese stock market. However, as a derivative of stock and interest rate, convertible bond can not be compensated in the reform. In the Black-Scholes frame, this paper presents the closed form pricing formula for a convertible bond on the basis of partial differential equation （PDE）.