| 基于风险价格均衡的可转换债券定价模型及实证研究 |
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| 引用本文： | 朱艳芳,张维.基于风险价格均衡的可转换债券定价模型及实证研究[J].天津大学学报(社会科学版),2011,13(6):493-497. |
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| 作者姓名： | 朱艳芳 张维 |
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| 作者单位： | 天津大学管理经济学部,天津,300072 |
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| 摘 要： | 在公司资产包含股票、可转换债券及债券资产的假定条件下，提出并证明了公司风险资产之间存在风险价格均衡状态，推导出风险价格均衡状态下可转债收益率计算方法，并以这种收益率为折现率，建立了结构型二叉树可转债定价模型。同时，对模型进行了实证检验，结果显示，不同交易时段的5个转债的理论价格与市场价格的平均偏差率范围在2．52％和-0．83％之间，均处于较低水平，表明模型可以有效的避免可转换债券价值低估问题。
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| 关 键 词： | 可转换债券 定价 期权 二叉树模型 风险价格 均衡 |
Pricing Model and Empirical Analysis of Convertible Bonds Based on Risk-Price Equilibrium |
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| ZHU Yan-fang,ZHANG Wei.Pricing Model and Empirical Analysis of Convertible Bonds Based on Risk-Price Equilibrium[J].Journal of Tianjin University(Social Sciences),2011,13(6):493-497. |
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| Authors: | ZHU Yan-fang ZHANG Wei |
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| Institution: | ZHU Yan-fang,ZHANG Wei(Faculty of Management and Economics,Tianjin University,Tianjin 300072,China) |
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| Abstract: | This paper creates a novel pricing model of convertible bonds with binary tree theory after supposing and proving risk price equilibrium among firm's risk assets,and deducing the calculation method of return rate for convertible bonds based on some elemental assumptions involved stocks,bonds and convertible bonds.Then,we use the new model to carry out investigating the pricing of Chinese convertible bonds as well.The result shows that five average deviation ratios are among 2.52% and-0.83% between market pr... |
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| Keywords: | convertible bonds pricing option binary tree model risk-price equilibrium |
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