| 基于二叉树模型的可转债价值分析——以国君转债为例 |
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| 引用本文： | 王宇,张胜良. 基于二叉树模型的可转债价值分析——以国君转债为例[J]. 经济数学, 2020, 37(1): 106-110 |
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| 作者姓名： | 王宇 张胜良 |
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| 作者单位： | 南京林业大学 经济管理学院,江苏 南京 210037;南京林业大学 经济管理学院,江苏 南京 210037 |
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| 基金项目： | 2019 年南京林业大学专业学位研究生课程案例库建设项目 |
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| 摘 要： | 针对提高投资收益率的问题,采用二叉树模型对可转债价值进行分析.以国君转债为例,运用二叉树模型计算2019年4月30日—2019年6月11日共30个交易日的可转债理论价格,并与市场实际收市价进行对比.由于可转债有可以提前行权的美式期权特点,可转债价值在多数时间段是处于被高估的状态,并且还受到模型的偏差等因素影响.
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| 关 键 词： | 可转债定价 B-S模型 误差分析 二叉树模型 国君转债 |
Value Analysis of Convertible Bonds Based on Binomial tree Model:Take the Guojun Convertible Bond as an Example |
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| WANG Yu,ZHANG Shengliang. Value Analysis of Convertible Bonds Based on Binomial tree Model:Take the Guojun Convertible Bond as an Example[J]. Mathematics in Economics, 2020, 37(1): 106-110 |
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| Authors: | WANG Yu ZHANG Shengliang |
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| Affiliation: | (Economics and Management College,Nanjing Forestry University,Nanjing,Jiangsu 210037,China) |
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| Abstract: | In order to improve the return on investment, the binnomial tree model is used to analyze the value of convertible bonds. Taking the sovereign''s convertible bonds as an example, the theoretical price of convertible bonds for 30 trading days from April 30, 2019 to June 11, 2019 is calculated by using the binomial tree model, and compared with the actual market closing price. Because convertible bonds have the characteristics of American options that can be exercised in advance, the value of convertible bonds is overvalued in most of the time, and it is also affected by model bias and other factors. |
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| Keywords: | pricing of convertible bonds B-S model error analysis binomial tree model Guojun convertible bonds |
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