可转换债券的期权定价

Option Pricing of Convertible Bond

可转换债券因其独特的金融性质,受到越来越多投资者的关注和欢迎,对其定价理论的研究也具有理论和实际意义。可转换债券的价值可分为纯粹债券价值、转换价值和期权价值三个部分,其中期权价值的确定有一定的困难。本文在布莱克-舒尔茨模型的基础上,考虑支付红利、美式期权和稀释效应的影响,对模型进行了修正,使其更适合于可转换债券期权价值的估算。

Convertible bond receives more and more popularity among investors due to its unique financial characteristics Studies on its pricing theory also presents theoretical and practical significanceThe value of convertible bond can be divided into pure bond value,conversion value and option value, among which option value is somewhat hard to measure Based upon BlackScholes mode,this paper considers about the influence of dividend payment, Americanbased option and dilution effect and modifies the above mode to make it more suitable for options valuation of convertible bond