具有动态信用风险的可转债的定价研究

本文基于鞅方法的定价理论,在全面考虑赎回条款、回售条款、公司不具稳定性的信用风险以及转股时股市受到稀释作用对可转债价值的影响后,给出可转换债券一个比较精确的定价公式。应用这些公式对南京水运公司可转换债券做实证分析,结果表明:定价公式的数值与实际市场可转债的价格波动情况吻合相当好,能反映出良好的预测效果.因此该可转债定价结果将有助于发行公司、投资者、监管机构和中介机构更准确的了解可转债的定价机制,而发行公司、投资者、监管机构和中介机构对可转债定价机制的熟悉将有助于在我国证券市场建立起一种成熟稳健的避险工具,从而推动证券市场的发展。

The Pricing of Convertible Bond with Dynamic Credit Risk

This paper applies the pricing of martingale way to give a precise value formula of convertible bonds, which thoroughly considers the callable clauses, put-able clauses, credit risk and dilutendness of stock. The application in the company of NanJing Shuiyun's convertible bond shows that the values of pricing formula fit the market values very well and have good forecasting ability. Therefore, this will helps the convertible bonds issue companies, investors, supervisory institutions and agency institutions to realize the pricing mechanism of convertible bonds, and to set up a mature risk-avoid financing tool in our country. In the result, it will drive the bond market to develop.