摘要
目前我国可转换债券的各种限制性条款具有明显的巴黎期权特征 ,其对可转换债券的定价以及最优执行策略的确定有着极大的影响。综合分析了可转债赎回条款的硬限制、软限制以及赎回公告期限制对可转换债券定价的影响 ,重点讨论了可转换债券赎回条款软限制中的巴黎期权特征 ,建立了路径依赖条件下可转换债券定价问题的控制方程 ,基于投资者与发行者双方博弈的结果给出了相应的边界条件 。
As a derived form of barrier options, Parisian option is a kind of exotic one with strong path-dependency. Many restrictive clauses of convertible bonds are characteized by Parisian option, which effect greatly on the value of convertible bonds and the optimal exercise strategy. The effect of soft call restriction clauses and call notice period restriction clauses on the value of convertible bonds was analyzed. On the basis of the characteristics of he Parisian option of convertible bonds,the pricing governing partial differencing equation of convertible bonds was established , and the boundary conditions proposed with the help of the game between investors and issuers. The solution to the problem by numerical methods was also given based on whole the grid simulation.
出处
《管理学报》
2005年第2期229-234,共6页
Chinese Journal of Management
基金
国家自然科学基金资助项目 ( 70 471 0 43 )
