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论文编号：	1287
作者编号：	2120062345
上传时间：	2009/6/15 13:08:24
中文题目：	我国可转换债券定价研究
英文题目：	Research about the pricing of
指导老师：	黄福广教授
中文关键字：	可转债;期权定价;B-S定价模型
英文关键字：	convertible bond; option valua
中文摘要：	我国可转债融资我国的可转债融资开始于1991年，是我国证券市场近年来推出的一种金融衍生产品，尤其是这几年发展十分迅速。因其具有的独特融资优势，从可转换债券诞生但现在已经越来越多的受到市场投融资者的青睐，已经成为我国上市公司一种重要融资工具和二级市场上的主要投资品种之一，并在短短十几年的发展历程中，在完善我国资本市场结构，丰富投融资品种和渠道等方面发挥了重要的作用。但是由于可转换债券定价理论没有充分的挖掘和被市场参与者认识，明显的出现了可转换债券的市场定价偏低，存在收益风险不匹配等问题。正确定价可转换债券对于投资者和发行人以及可转换债券市场今后的健康发展都具有重大的意义。本文正是在这种背景下对可转换债券进行研究的。 关于可转换债券定价的讨论很多，但很多仅仅停留在可转换债券价值特征的总体刻画上，忽略了可转换债券同时包含债券和期权两部分价值，无法对其分别进行客观准确的定价，也无法为融资投资决策给予有效合理的指导。本文研究的目的，在于探索运用期权定价理论，对可转换债券的价值进行客观估计。将期权理论运用于企业可转换债券估价，使其价值得到更好的揭示，帮助投资者制定成功的可转换债券投资策略，有助于企业更好的利用可转换债券进行融资。 可转换债券研究所涉及的最根本的问题就是定价的研究。准确的定价有利于企业根据自身特点设计出有针对性的附加条款，更好地达到降低融资成本和扩大融资规模目的；有利于投资者对可转换债券的风险和投资价值的全面认识，以便做出正确的投资决策；还有利于监管层制定有效的法规制度，维护可转换债券市场的公平和繁荣。 可转债定价理论与方法可转债定价理论是在Black 和Scholes(1973)和Merton(1974)的期权定价理论基础上发展起来的，先后有基于公司价值的单因素模型、基于随机利率和公司价值的两因素模型、基于股价运动的双因素模型以及有违约风险的定价模型。但B-S 定价方法、二项式定价法、蒙特卡洛模拟法是在可转债定价中应用最广的方法。因为可转债的理论定价问题基本上都是建立在B-S期权定价的基础之上的。同时B-S模型的计算相对于蒙特卡洛模拟、有限差分方法、二叉树模型较为方便，且所需变量也很容易在市场上获得。因此本文选取B-S模型进行分析。可转换债券既具有公司债券的特征(有确定的期限和定期利率)，又具有股票的属性(可转换公司债券持有人可以按照约定的条件将债券转换成公司普通股票，故投资者通常又把可转换债券视为“准股票”)。因此，可转换债券是兼有股票和债券的双重属性一种混合型的证券。可转债的价值可以分为两个部分：一是债权部分，即可转债未转换成公司股票之前而享有的债权收益，包括可转债的票息与本金。这部分价值与利率水平及发行公司的信用风险呈负相关。二是股权部分，即基于发行公司股票价格的看涨期权的价值。一般来说，可转债的价值主要取决于股票价格及其波动率、利率水平、利率期限结构、浮动的票息利率、转换价格以及发行公司的信用等级。 在讨论可转债的定价问题时，本文将其债券部分和期权部分分开定价，对债券的定价就是将债券在不同时点上形成的收益转化为现值，期权部分定价本文主要采用Black-S公式法，通过分析，可以看出其理论价值与市场实际价格大致上是吻合的，变动趋势也保持了一致，但同时理论价值在绝大多数时候都高于其市场价格，经过分析，造成这种现象的原因可能包括分析期间内可转债市场相对稳定而股票市场却持续低迷，使得转债价值与标的股票价值的关联性降低；公式中无风险利率的取值，可能存在缺陷；本文转债定价模型没有考虑股本扩张带来的股权稀释效应；波动是不断变化的，而理论计算对波动率所隐含的假设是在期权存续；期内价格波动率水平不变；转股期限的不确定的因素。另外，还有一些假设条件，比如要求基础股票的变化过程服从对数正态分布，投资者可以用无风险利率进行借贷等。由于基础股票很难完全满足各种假设条件，因此使用B-S模型推算出结果与可转债的真实价值必然会有一定误差。 本文主要研究思路是在分析可转换债券定价的重要性及国内外市场对其定价现状的基础上，借鉴国内外研究成果和先进经验，运用定性和定量的分析及理论与实践相结合的方法针对可转换债券传统定价方法上存在的问题，提出科学合理的定价理论。 全文共分7部分，其中前三章是对可转换公司债的基础理论、一般概念、要素、属性，以及国外可转换公司债的历史和我国可转换公司债发展的若干阶段的介绍。 第四章和第五章为可转债定价的理论分析，分析了可转债内嵌的转换权、赎回权、回售权及转股价格修正权，通过这部分内容的介绍使得对可转换债券价值的构成、性质有了清楚的认识。本部分还对可转债价值影响因素的分析和定价关键因素的确定进行了研究，将影响因素分为：一是影响可转债未来现金流的因素，即可转债发行公司未来股票价格的走势、可转债具体的条款内容；二是影响现金流贴现因子的因素。 第六章是对我国可转债市场的实证分析，主要是利用Black-Scholes期权定价模型，计算了我国市场上可转债的理论价值，并与市场价格作了比较，结果发现两者基本吻合，但大多数可转债的市场价格显然要低于理论价值，对这种现象，本文从计算方法、参数的选择、我国市场的特点等方面进行了一定的分析。
英文摘要：	The financing of convertible bond in our country was started in 1991; it is a kind of financial derivative product recently promoted by the securities market in our country, particularly, it has a rapid development in a few years. Convertible bond has been got more and more favor from the factor and investor of the market since it came into the market and now it has become an important financing tool to the listed companies in our country and one of the most important investments in the secondary market; convertible bond has played an important role at many aspects, such as improving the structure of the capital market in our country, richening the varieties and channels of the financing and so on, in its short development history for about ten years. However, it is obviously shown that the market pricing of convertible bond is much lower and the problems, e.g. mismatch of the yield risk, are existing because the pricing theory of the convertible bond hasn’t been fully explored or recognized by the market participant. The proper pricing of convertible bond has a great significance to the healthy development of investors, publisher and the market of convertible bond in the future. Under this background, this thesis is made a study on the convertible bond. There are many discussions about the pricing of convertible bond, but most of them only rest on the general depict on the characteristics of the value of convertible bond and neglect that the convertible bond includes the values of two parts, i.e. bond and option; they can’t respectively make an objective and appropriate pricing to the convertible bond; they can’t give a effective and reasonable guidance to the financing and investment decision. The goal for the study of this thesis lies in making an exploration by using option pricing theory to make an objective estimation to the convertible bond. Using the option pricing theory on the estimation of the enterprise’s convertible bond can make its value have a better show and help the investor make a successful investment strategy of convertible bond; it is also good for the enterprise to further make use of the convertible bond to make the financing. The fundamental problem involved in the study of convertible bond is the study of pricing. Correct pricing can help the enterprises to design the additional clauses having the direction based on their own characteristics and further achieve the goal of reducing the financing cost and the expanding the financing scale; correct pricing is good for the investors to fully recognize the risk and investment value of the convertible bond so that they can make right decisions of investment; correcting pricing is also beneficial for supervision department to make effective regulation systems to maintain the fairness and prosperity of the market of convertible bond. Pricing theory and method of convertible bonds: pricing theory of convertible bonds is developed from Black, Scholes(1973) and Merton(1974)’s option pricing theory; it successively has unifactor model based on the value of the company, two factor models based on the random interest rates and the value of the company, double factor model based on the activity of the stock and the pricing model with the default risk . However, the B-S pricing method, pricing method of binomial and Monte Carlo Simulation Approach are the methods used most extensively in the pricing of convertible bonds because the theory pricing of convertible bond is generally built on the B-S option pricing. Meanwhile, compared with Monte Carlo Simulation Approach, finite-difference method and binominal tree model, B-S model is much simpler and the variable need can be also easily got from the market. So this thesis chooses B-S model to make analysis. The convertible bonds not only has the property of the stock (bondholder of the convertible company can change the bond to the common stock of the company according to the agreement, so the investors also regard the convertible bond as the quasi-equity). Thus, convertible bond is a mixing bond which has the double property of stock and bond. The value of the convertible bond can be divided into two parts: one is the part of credit right, i.e. benefit of credit right enjoyed before the convertible bond hasn’t changed to the stock of the company including the coupon and capital of the convertible bond. Partial value and interest rate and the credit risk of the publishers are negatively related with each other. The other one is the part of stock ownership, i.e. based on the value of call option of the publisher’s stock price. Generally speaking, the value of the convertible bond depends on the stock price, fluctuation ratio of the stock rate, interest rate, term structure of interest rate, the floating coupon rate, the convertible price and the publisher’s credit rating. This thesis will respectively make a pricing to the bond part and the option part when the pricing of the convertible bond is discussed; the pricing of bond is to change the profit got by the bond at different time points to value; this thesis mainly adopts Black-S formula for the pricing of option part; it can seen from the analysis that its theoretical value coincided with the practical price of the market more or less and the change tendency is uniformly kept, but at the same time when overwhelming majority, the theoretical value is higher than that of the market price; after the analysis, the reason causes this phenomenon is properly including analyzing the relative stability of the market of the convertible bond while the continuous downturn of the stock market which makes relevance of the value of the convertible bond and the stock value of the bid lower; the value of risk-free rate in the formula may have defect; pricing model of convertible bond in this thesis doesn’t take dilution effect brought by the expansion of the capital stock into consideration; fluctuation changes all the time while hypothesis hidden by the theoretical counting to the fluctuation rate subsists in the option; fluctuation ratio of price in the option keep fixed; uncertain factors of the term of transfer shares. In addition, there are also some other assumed conditions, e.g. the change process of the fundamental stock is required to obey the normal distribution of logarithm; the investors can make loans by using the risk free rate and so on. There must be some difference between the result calculated by B-S model and the practical value of the convertible because the fundamental stock is difficult to fully meet every hypothesis condition. The main thought train for study of this thesis is to utilize the research results and advanced experience both at home and abroad and put forward the scientific and reasonable pricing theory aiming at the problems existing in the traditional pricing method of convertible bond by using qualitative and quantitative analysis and the method combining the theory with the practice based on analyzing the importance for pricing the convertible bonds and the pricing status of market both at home and abroad. This thesis is divided into seven Chapters; among which the first three chapters are about the introduction about the basic theory, general conceptions, factors, property of convertible bonds and history of foreign companies’ convertible bonds and the several stages for the development of convertible bonds in our country. Chapter IV and Chapter V are the theoretic analysis to the pricing of convertible bond; Chapter IV and Chapter V make an analysis to the conversion right, right of redemption, redemption option and the right for the monetary correction of the transfer shares embedded in the convertible bond. It can make the reader have a clear cognition to the composition and nature to the value of the convertible bond. Chapter IV and Chapter V also make a study on the analysis of the influencing factors for the value of the convertible bond and the decision about the key factors of the pricing; Chapter IV and Chapter V divide the influencing factors into two parts: the first one is the factor that affect the future cash flow of the company issuing the convertible bonds, namely, the trend of the stock price in the future of the company issuing the convertible bonds and the concrete clause content of convertible bonds; the other one is the factor that affect discount factor of the cash flow. Chapter VI is the experimental analysis of the market of convertible bond in our country and it mainly uses the Black-Scholes Option Pricing Model to count the theoretical value of convertible bond in the market of our country; it also make a comparison with the market price, it is found from the result that theoretical value of convertible bond in the market of our country is are in fair agreement with the market price; however, most market price of the convertible bonds is lower than that of the theoretical value; thesis is made some analysis for this phenomenon from several aspects, such as the counting method, the choice of the parameter, the characteristics of the market in our country and so on.
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