可转换债券:参数估计与定价实证

金融产品的定价,是金融工程研究的核心问题之一,同样可转换债券的定价也引起国内外学者们的关注.本文试图借鉴国内外研究成果,在分析股价及利率特性的基础上,运用推导出基于股价和利率的双因素定价模型;从中国实情出发,运用广义自回归条件异方差模型(简称GARCH)得出长期波动率,通过将可转债条款转化为边界终值条件并利用数值方法对可转债定价.

Convertible Bond: Parameter Estimate and Fixed Price

The pricing of financial products is one of the core issues of financial engineering,Similarly Convertible Bond pricing also attracted domestic and foreign scholars are concerned.This paper attempts to draw on the research results of the analysis of stock prices and interest rates on the basis of characteristics,is derived based on stock prices and interest rates-factors pricing model;from the reality in China,GARCH derived using long-term rate fluctuations,By the terms of convertible bonds into the border terminal value conditions and the use of numerical methods for pricing convertible bonds.