基于LSM模型的中国可转债定价问题初探

An Exploration on Convertible Pricing Issue in China based on LSM Model

本文通过引入博弈理论分析可转债条款之间相互作用对发行人与投资者行为的影响。在此基础上,本文考虑了可转债的路径依赖性及美式期权特性,采用最小二乘蒙特卡罗模拟(Least Square Monte Carlo Simulation,LSM)方法来为可转债进行定价。本文以截止2011年3月11日中国可转债市场上流通的16只可转债为例对该模型的定价效率进行验证,实证结果表明LSM模型对可转债的定价具有比较高的准确度,模型定价误差小于可允许的5%的误差范围。

In this paper, we make an analysis on the effects of interrelations among convertible items upon the behavior of issuers and investors by means of game theory. On its basis, we also consider the path dependence of convertible and characteristics of American option, using LSM model to make convertible pricing. We use 16 convertibles of Chinese convertible market until March llth, 2011, and make a test of pricing efficiency of LSM model. And the result turns out that LSM model＇s pricing on convertible is fairly exact, and its error is smaller than 5%of the error range.