基于二叉树模型的碳中和可转债定价研究——以伟20转债为例

Research on the Pricing of Carbon Neutral Convertible Bonds Based on Binomial Tree Model——A Case Study of Wei20 Convertible Bond

以伟20转债为例,选取其30个交易日的数据,使用二叉树模型对其进行定价研究,并将该模型运用到其他含有碳中和概念的可转债定价分析中,发现除迪龙转债外,其余转债的实际价格均被低估。对这一结果的原因进行分析,并根据结果提出了建议。

This paper selected the data of 30 trading days and used the binary tree model to conduct pricing research on it by taking the Wei 20 convertible bond as an example. It also applied the model to other convertible bond pricing analysis that contained the concept of carbon neutrality. It found that the actual prices of the remaining convertible bonds were all undervalued except for Dilong’s convertible bonds. It analyzed the reasons for this result,and made recommendations based on the results,which guiding the capital to flow into carbon-neutral and related industries,in order to realize the efficient allocation of capital,and better to cope with the achievement of national strategic goals.