基于二叉树模型的可转债价值分析——以国君转债为例

Value Analysis of Convertible Bonds Based on Binomial tree Model:Take the Guojun Convertible Bond as an Example

针对提高投资收益率的问题,采用二叉树模型对可转债价值进行分析.以国君转债为例,运用二叉树模型计算2019年4月30日—2019年6月11日共30个交易日的可转债理论价格,并与市场实际收市价进行对比.由于可转债有可以提前行权的美式期权特点,可转债价值在多数时间段是处于被高估的状态,并且还受到模型的偏差等因素影响.

In order to improve the return on investment,the binnomial tree model is used to analyze the value of convertible bonds.Taking the sovereign's convertible bonds as an example,the theoretical price of convertible bonds for 30 trading days from April 30,2019 to June 11,2019 is calculated by using the binomial tree model,and compared with the actual market closing price.Because convertible bonds have the characteristics of American options that can be exercised in advance,the value of convertible bonds is overvalued in most of the time,and it is also affected by model bias and other factors.