我国上市公司可转换债券定价研究

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1、华中科技大学博士学位论文我国上市公司可转换债券定价研究姓名：赵海滨申请学位级别：博士专业：企业管理指导教师：龚朴20040430华中科技大学博士学位论文ABSTRACTConvertiblebondsappearinChinasecuritymarketforfewyears，andwhichhavebecome觚importanttypeoffinancinginstrument，ItisofgreatsignificancetoevaluateconvertiblebondsforissuingcompaniesdesigningissuanP。eprovisions

2、，investorsreasoninglyinvesting．andconvertiblebondsmarketdevelopinghealthily．T}lispaperstudiesthevaluationofconvertiblebonds，bymaltinguseofmodernfinancialmathematics，financialengineering，partialderivativefunctionandfiniteelementmethod．Therearethreevaluationmodelsdeducedbasedonthecontingent

3、claimsanalysis．TbefirstoneiSthesinglefactormodel,inwhichconvertiblebondiSregardedasthederivativeofunderlyingstock．日鸲secondmodcltakesthecreditriskintoaccountbasedontheintensitymodel，inwhichthecreditriskofconvertiblebondsdecreasesalongwiththeunderlyingstockprice’Sdeclining，andincreasesalong

4、withunderlyingstockpfice’sclimbing，itisbecauseoftheissuingcompanyismorelikelytodefaultwithlowerstockprice．Tbjrd】Yadualfactorsmodelisdeduced，whichintegratetheinterestrateriskandmarketrisk．ThestochasticinterestrateiScharacterizedastheHull—Whitemodel，whichhasartadvantageoffixingthecurrentter

5、mstructureexactly．Convertiblebondspossessearlyconversionprovision，callabilityprovisionandputabilityprovision．ThoseprovisionsallhaveAmericanfeature，SOthevaluationofconvertiblebondsiscorrespondingtoafreeboundaryproblem．Byestablishingvariationalinequality,Finiteelement(FE)methodisappliedtoso

6、lvedthosevaluationmodels，whichhassomeclearadvantagesoverfinitedifferencemethod：FEcandealwithanysolutiondomain；FEprovideaccurateGreekscriskmanagementparameters)asaby·product；andFEprovidemoreflexibilityintermsofincorporatingfinalconditionsandhandlingboundaryconditions．Afterresearchonthecall

7、abilityprotectiontermsofconvertiblebondsofChinamarkeLitiSfoundedthatalloftheconvertiblebondshavestrongcallabilityprotectiontenus．whichiscompared谢tlltheresultofoverseamarket，Aquantitativeresearchontheeffectofcallabilityprovisionandputabilityprovisionf。theconvertibleb