“马钢”可分离转债定价实证分析

以国内首支认股权和债券分离交易的可转换公司债券——马钢可分离转债为样本,从实证角度对其进行了定价分析。考虑了这次可分离转债的特点,采用历史波动率、GARCH(1,1)模型波动率和隐含波动率3种不同估计方法来计算波动率,利用修正的B-S权证定价模型进行转债权证部分定价,并和市场真实价格进行比较,详细分析比较3种波动率的定价效果。在运用修正的B-S权证定价模型时,考虑了公司总股本价值因可分离债券发行的增加,同时采用公司股权波动率进行计算,检验了修正B-S权证定价模型对马钢认股权证定价的有效性,实证证明采用隐含波动率或GARCH模型具有较好的定价效果。

Analyzing the Pricing of Bond with Attached Warrant Empirically

The pricing of the first bond with attached warrant in the domestic capital market of China was studied.The forecasting ability of Black-Scholes warrant pricing model were examined empirically.Volatility forecasting is very important to derivative pricing,hedging,and risk management.Warrant pricing biases related to warrant strike price,time to maturity,volatility,and interest rate differential will be considered.Three different methods were employed to compare the accuracy of forecasting ability,which are implied volatility,historic volatility,and GARCH model.It is found that both the implied volatility method and GARCH model will beat historic volatility and significantly reduce the model mispricing.