可赎回的可转换债券的博弈定价方法

Game Pricing Methods for Callable and Convertible Bonds

首先分析了可赎回的可转换债券的发行者与持有者之间的动态博弈关系 ,基于完全信息动态博弈原理 ,以实例演示该种证券定价的二叉树法 ,分析了该方法的优点和不足 ,进而基于博弈机制和最优停时原理 ,建立了该证券定价的较一般方法。

In this paper,we analyze the game relationship between the issuer and the holders of the callable and convertible bonds firstly.And then basing on the complete information dynamical game principle,we present a binomial tree method for the pricing of such bonds.The merits and the shortages of the binomial tree are pointed out,and a general method based on game mechanism and optimal stopping time principle is established finally.