一种随机利率条件下企业可转换债券定价的离散时间方法

A Discrete Time Pricing Model for Convertible Bond under Stochastic Interest Rate

在考虑了企业市场价值波动和利率及其期限结构的波动及两种波动之间的相关性的基础上 ,本文提出了一种可转换债券无套利定价的离散时间模型 .通过研究它与连续时间模型之间的关系 ,证明了这一模型的合理性 ,并得到了参数估计方法 .结合可转换债券的价值边界条件 ,就可以用这一定价模型计算出可转换债券的定价了 .作为离散时间模型 ,这一定价方法可适应可转换债券条款多变的特点 ,并在计算机上能方便实现 .

In consideration of volatility of both firm market value and term structure of interest rate as well as the correlation between them, this paper presents an arbitrage\|free discrete time pricing model for convertible bond. Through research on relation with continuous time model the reasonableness of this model can be proved, and parameter estimation methods can be obtained at same time. Combined with value boundary conditions of convertible bonds, this model is applicable. As a discrete time one, this model can fit the diversification of convertible bonds issue terms. It can be easily implemented on computer.