引入信用风险的可转换债券的定价

可转换债券是我国证券市场上近年来推出的一种比较新颖的金融创新产品,它是一种混合型的金融产品,兼有债权性和期权性的特点,具有筹资和避险的双重功能.无论对于发行者还是投资者来说,对可转换债券的定价研究有其理论和实际意义.介绍了典型的布莱克-斯科尔斯期权定价模型,然后以招商银行股份有限公司发行的可转换债券为例,使用该模型对引入信用风险的招行转债在发行当天的定价做了初步探讨,经过计算发现,上市当天招行转债的理论价格明显高于它的发行价格.最后,本文结合我国可转换债券市场的特殊性指出了其理论价格高于发行价格的原因.

The introduction of credit risk pricing of convertible bond

Convertible bond is a relatively new financial innovation in China's stock market in recent years.It is a hybrid financial products,which possesses the characteristics of option and bond,with the dual function of financing and hedging.Regardless of the issuer or investors,the research on the pricing of convertible bonds has its theoretical and practical significances.First,this paper introduces the typical Black-Scholes Option Pricing Model,and then uses the model to do a preliminary study on the China Merc...