有锁定期的零息可赎回可转换债券定价解析式

Analytic Formula of Zero-coupon Callable Convertible Bonds with Hard Call Period

首先,本文在Black-Scholes期权定价模型假设框架下,依据风险中性定价原理,将有锁定期的零息可赎回可转换债券的理论价值完全拆解为相对简单的四部分,进而推导出该转债的定价解析式。同时,本文利用广为接受的Monte Carlo模拟定价法验证了我们推导过程的正确性。相对现有各种数值定价法,该解析定价法大大提高了定价效率。

In the Black-Scholes framework, according to the risk-neutral valuation principal, we completely decompose a zero-coupon callable convertible bond with hard call period into four simple parts, and derive the analytic formula of each of these four parts. Finally, we obtain the analytic formula of the zero-coupon callable convertible bonds with hard call period. At the same time, we validate this formula by using Monte Carlo simulation. Compared with the existing numerical procedures, this method greatly speeds up the valuation efficiency.