摘要
选取上海证券交易所国债,基于样条函数模型推导出无违约利率期限结构,进行有效性检验;选取上海证券交易所可转换债券推导出违约利率期限结构,并与无违约利率期限结构对可转换债券的定价效果进行比较;针对目前国内可转换债券定价均假设利率恒定、没有考虑利率变化的现状,将无违约利率期限结构与Black-Scholes期权定价模型相结合,提出了可转债定价的一般模型,并用此模型对歌华转债进行定价实证分析,结果表明,两者均存在一定的偏差,可见利率期限结构模型对中国可转换债券定价相对有效。
First, the fault-free term structure of interest rates （TSIR） is induced by the spline function model for the samples of treasury bonds from Shanghai Stock Exchange（SSE） , and its validity is verified. Second, the faultable TSIR is induced for the samples of convertible bonds from SSE, and its efficiency for pricing convertible bonds is compared with the fault-free TSIR. Third, as the interest rate for pricing convertible bonds in China is constant, and namely has no considering the change of TSIR, a new method of pricing convertible bonds by combining the fault-free term structure and Black-Seholes option pricing model is proposed. Finally, the empirical analysis and comparison of pricing Gehua convertible bond with the constant interest rate model are made. The results show that there are some biases of the two methods. Obviously, the TSIR model is relatively efficient for the pricing convertible bonds.
出处
《管理科学》
CSSCI
2006年第2期78-82,共5页
Journal of Management Science
基金
国家自然科学基金(70372011)
北京化工大学青年教师基金(QN0521)
