摘要
根据最小二乘美式期权定价的思想,在全面考虑回售条款、赎回条款及转股价向下修正条款后,给出基于蒙特卡洛模拟可转债定价的基本理论框架。为更好地体现波动率集聚的特征,使用GARCH方法进行建模。而后运用matlab软件为我国3只流动性较好的可转债进行上市首日定价效果检验,实证结果与实际市场可转债价格吻合率较高,模型具有一定的准确度。此外发现,相对于模型的理论价值而言,我国可转债的市场价格有被低估的现象,并进一步探讨产生偏差的原因。
According to the ideas of the least-squares American option pricing,The basic theoretical framework based on the Monte Carlo simulation of convertible bonds is given after considering the put-able clause,the call-able clause and the conversion price amendment clause.In order to better reflect the feature of volatility-clustering,the use of GARCH method for modeling.And then using the matlab software for three convertible bonds listed on the first day of the pricing effect test,the empirical results and the actual market convertible bond price coincidence rate is high,this model has a certain accuracy.In addition,it is found that the market price of convertible bonds has been underestimated in terms of the theoretical value of the model,and further explores the causes of the deviation.
作者
朱妮洁
ZHU Ni-jie(Nanjing University of Science and Technology,College of Science,Nanjing 210094,China)
出处
《经济研究导刊》
2018年第10期94-97,共4页
Economic Research Guide
