离散时间条件下企业可转换债券的最优赎回策略

The Optimal Call Policy for Convertible Bond under Discrete Time Condition

企业可转换债券的最优赎回策略不仅能为企业指出行使赎回权的最佳时机 ,同时它也是企业可转换债券定价的前提。与连续时间相比 ,离散时间条件下的企业可转换债券有两点不同 :一是交易只能发生在离散的时间点上 ,二是可转换债券的票息和标的股票的股息是离散支付的。本文研究了离散时间条件下企业可转换债券的最优赎回策略 ,并证明当交易点之间的时间间隔趋向于 0时 ,这一策略收敛于连续交易条件下的最优赎回策略。本文提出的最优赎回策略在实践中具有可操作性。

The optimal call policy for convertible bond not only can point out the optimal occasion for firms' calling,but also is a premise to convertible bond pricing. In contrast with those under continuous time condition,convertible bonds under discrete time condition have two different points:one is that trading takes place only on discrete time points,the other is that the coupons for convertible bonds and the dividends for underlying stock are paid discretely. This paper presents the optimal call policy for convertible bonds under discrete time condition verifies that it converges to the optimal policy under continuous trading condition when the time spread between two adjacent trading points approaches zero.