基于双因子柳树的中国可转换债券定价研究

马长福, 许威, 袁先智

系统工程理论与实践 ›› 2019, Vol. 39 ›› Issue (12) : 3011-3023.

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系统工程理论与实践 ›› 2019, Vol. 39 ›› Issue (12) : 3011-3023. DOI: 10.12011/1000-6788-2019-1033-13
论文

基于双因子柳树的中国可转换债券定价研究

    马长福1, 许威1, 袁先智2,3,4,5
作者信息 +

Research on the valuation of Chinese convertible bonds based on two-factor willow tree

    MA Changfu1, XU Wei1, YUAN Xianzhi2,3,4,5
Author information +
文章历史 +

摘要

近年来，可转债已经成为我国上市公司再融资的重要方式，因此如何对其进行定价受到广泛关注.本文综合考虑了随机利率、股价、违约风险、赎回回售条款的触发条件，提出采用股价利率双因子柳树模型对我国市场上的可转债进行定价.较之现有的模型，柳树法模型的定价结果与可转债的市场价格匹配度更高.在估计标的股票的波动率参数时，本文既考虑了历史波动率也考虑了隐含波动率（通过可转债市场价格校准模型得到的波动率）.实证结果表明采用隐含波动率时模型的精度有很大的提高.

Abstract

Convertible bond becomes an important way of refinancing for Chinese listed companies recently, and the pricing problem of convertible bond has attracted wide attention. In this paper, we propose a two-factor willow tree method to price Chinese convertible bonds with the consideration of stock price, interest rate, default rate and the trigger conditions of callable and putable clauses embedded in Chinese convertible bonds. By comparing with the existing models, our model matches the market prices better. In empirical research, we estimate the volatility of the stock price process with both historical volatility and implied volatility which is got by calibrating the valuation model with the market price of convertible bond. We find that the accuracy of the valuation model has been greatly improved.

关键词

可转债 / 随机利率 / 双因子模型 / 柳树法

Key words

convertible bond / stochastic interest rate / two-factor model / willow tree method

引用本文

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导出引用
马长福 , 许威 , 袁先智. 基于双因子柳树的中国可转换债券定价研究. 系统工程理论与实践, 2019, 39(12): 3011-3023 https://doi.org/10.12011/1000-6788-2019-1033-13
MA Changfu , XU Wei , YUAN Xianzhi. Research on the valuation of Chinese convertible bonds based on two-factor willow tree. Systems Engineering - Theory & Practice, 2019, 39(12): 3011-3023 https://doi.org/10.12011/1000-6788-2019-1033-13
中图分类号： O29   

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基金

国家自然科学基金（71971031，U1811462，71771175）
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