随机利率条件下可转换债券定价模型的经验检验

本文运用市场的实际数据对随机利率条件下可转换债券的定价模型作了经验检验,发现在可卖空的市场条件下,对处于实值状态的可转换债券可直接获得满意的定价,对处于虚值状态的可转换债券需要考虑债券的恶意违约风险,在加入风险补偿后也可获得满意的定价。在中国不可卖空的市场条件下,这一定价模型仅对进入转换期的可转换债券的价格具有一定的预测作用。

Empirical Test on Convertible Bond Pricing Model under Stochastic Int erest Rate

This paper does empirical test on convertible bond pricing model under stochastic interest rate In the market without short position prohibition,as for the in the value convertible bonds,the model can get satisfactory pricing directly As for the out of the money convertible bonds,the model can’t get satisfactory pricing until it takes intent default risk into account and adds risk premium in In the market with short position prohibition,such as Chinese domestic financial market,the model can only provide some pricing information for the convertible bonds just in converting period.