可转换债券定价的二叉树模型
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摘要
可转换公司债券是资本市场上创新的融资工具之一,在中国尚处于起步阶段。但随着中国资本市场的进一步发展,可转债越来越得到人们的重视,尤其是这几年发展十分迅速,己成为我国上市公司一种重要融资工具和二级市场上的主要投资品种之一。可转债是一种兼具债券和股票特性的复合性衍生产品,不可能用传统的债券和股票价值分析方法分析其价值及市场行为。因此如何借鉴国外可转换债券定价理论,加强我国可转换债券定价理论及其应用研究,对于投资者和发行人及可转换债券市场今后的健康发展都具有重大的意义。
本文首先介绍了可转换债券的基本理论以及其在国内外的发展历史。然后通过对传统的可转债的定价方法的比较得出二叉树模型在可转债定价中具有很强的实用性。接着对二叉树理论进行了详细介绍,并针对我国可转债的附加条款对传统的可转债二叉树模型进行了改进,提出了更符合现实市场操作的定价模型。最后选用万科转债进行实证分析,通过其理论参考价值与其市场实际价格的对比得出可转债被低估的结论并对存在这一现象的原因进行了分析。
Convertible Bonds is one of the creative financial tools in the capital market, which is in the preliminary stage in China. But it attracts more and more attention with the development of Capital Market of China. Convertible Bonds has drastic progress in recent years, and has already ranked among the main financial instruments for listing companies and investment varieties at the second-market. Convertible Bonds is a kind of rather complicated credit derivatives, which has the characteristics of both common bonds and stocks, so it’s impossible to price convertible bonds with the traditional pricing methods of bonds or that of stocks. Thus, it is very important and significance to use the financial derivative pricing theories in the West for reference and to strengthen the researches on financial derivative pricing theory and application in our securities market, and the appropriate pricing of Convertible Bonds bears favorably on investors and issuers, as well as the healthy development of the convertible bonds market.
This paper begins with the basic theory of convertible bonds and its history in west and China. After compared with other traditional pricing methods, find out that the Binomial Tree Model is more effective in Convertible Bonds pricing. Then this paper gives a particular introduction of the Binomial Tree Model and improves it according to the additive terms of China which make it fit the actual market more. At last, the pricing model is used to calculate the value of Wanke Convertible Bonds, which is higher than the current market price and some reasons of the phenomena are given.
本文首先介绍了可转换债券的基本理论以及其在国内外的发展历史。然后通过对传统的可转债的定价方法的比较得出二叉树模型在可转债定价中具有很强的实用性。接着对二叉树理论进行了详细介绍,并针对我国可转债的附加条款对传统的可转债二叉树模型进行了改进,提出了更符合现实市场操作的定价模型。最后选用万科转债进行实证分析,通过其理论参考价值与其市场实际价格的对比得出可转债被低估的结论并对存在这一现象的原因进行了分析。
Convertible Bonds is one of the creative financial tools in the capital market, which is in the preliminary stage in China. But it attracts more and more attention with the development of Capital Market of China. Convertible Bonds has drastic progress in recent years, and has already ranked among the main financial instruments for listing companies and investment varieties at the second-market. Convertible Bonds is a kind of rather complicated credit derivatives, which has the characteristics of both common bonds and stocks, so it’s impossible to price convertible bonds with the traditional pricing methods of bonds or that of stocks. Thus, it is very important and significance to use the financial derivative pricing theories in the West for reference and to strengthen the researches on financial derivative pricing theory and application in our securities market, and the appropriate pricing of Convertible Bonds bears favorably on investors and issuers, as well as the healthy development of the convertible bonds market.
This paper begins with the basic theory of convertible bonds and its history in west and China. After compared with other traditional pricing methods, find out that the Binomial Tree Model is more effective in Convertible Bonds pricing. Then this paper gives a particular introduction of the Binomial Tree Model and improves it according to the additive terms of China which make it fit the actual market more. At last, the pricing model is used to calculate the value of Wanke Convertible Bonds, which is higher than the current market price and some reasons of the phenomena are given.
引文
[1]杨如彦,魏刚等.可转换债券及其绩效评价[M],上海:中国人民大学出版社,2002: 273-372
[2]郑小迎,陈金贤,关于可转换债券定价模型的研究[J],预测,1999,(03):4-9
[3]王敏,梁丽等,可转换债券定价的研讨[J],辽宁大学学报,2002,(02):16-19
[4]周琳,可转换债券的定价及其影响因素的实证分析[J],同济大学学报, 2003, (04):11-14
[5]Ingersoll JE, A contingent-claims valuation of convertible securities[J],Journal of Financial Economics,1997,(2):289-322
[6]Merton R.,Theory of rational option pricing[J], Journal of Financial and Management Science,2004,(1):141-184
[7]Bremman M. Schwartz E,Analyzing convertible bonds[J], Journal of Financial and Quantitative Analysis,,1980,(4):907-929
[8]Stein, J.C., Convertible bonds as backdoor equity financing[J].,Journal of Financial Economics,1992,233-235
[9]Hart, O.& Moore, J., Debt and seniority: an analysis of the role of hard claims in constraining management[J],,American Economics Review, 1995:122-143
[10]Mayers. D.,Why firms issue convertible bonds: the matching of financial and real investment options[J],Journal of Financial Economics, 1998:12-17
[11]Novuyuki lsagawa,Convertible debt: An effective financial instrument to control managerial opportunism[J], , Review of Financial Economics , 2000:14-18
[12]陈守红,可转换债券投融资―理论与实务[M],上海:上海财经大学出版社,2005:1-365
[13]赵海滨, 我国上市公司可转换债券定价研究:[博士毕业论文],武汉;华中科技大学,2004
[14]何大钢,可转换债券的资金成本分析(J),预测,1999(05):24-26
[15]门庆兵,可转债对公司财务结构的影响及发行时机(J),财经科学,2002(03)
[16]Joseph Stampfli, Victor Goodman,The Mathematics of Finance[M](蔡明超 译),北京:机械工业出版社, 2004:81-90
[17]李秉祥,对可转换债券财务特性的研究[J], 西安理工大学学报,2002,(18):12-17
[18]Cox, J.C., Ross, S.A. and M. Rubinstein, Option Pricing: A simplified Approach[J], Journal of Financial Economics,1979,(7):229-263
[19]Connolly.K. B., Pricing Convertible Bonds[J],2000:17-18
[20]Aswath Damodaran,Investment Valuation 投资估价[M],1999:300-302
[2]郑小迎,陈金贤,关于可转换债券定价模型的研究[J],预测,1999,(03):4-9
[3]王敏,梁丽等,可转换债券定价的研讨[J],辽宁大学学报,2002,(02):16-19
[4]周琳,可转换债券的定价及其影响因素的实证分析[J],同济大学学报, 2003, (04):11-14
[5]Ingersoll JE, A contingent-claims valuation of convertible securities[J],Journal of Financial Economics,1997,(2):289-322
[6]Merton R.,Theory of rational option pricing[J], Journal of Financial and Management Science,2004,(1):141-184
[7]Bremman M. Schwartz E,Analyzing convertible bonds[J], Journal of Financial and Quantitative Analysis,,1980,(4):907-929
[8]Stein, J.C., Convertible bonds as backdoor equity financing[J].,Journal of Financial Economics,1992,233-235
[9]Hart, O.& Moore, J., Debt and seniority: an analysis of the role of hard claims in constraining management[J],,American Economics Review, 1995:122-143
[10]Mayers. D.,Why firms issue convertible bonds: the matching of financial and real investment options[J],Journal of Financial Economics, 1998:12-17
[11]Novuyuki lsagawa,Convertible debt: An effective financial instrument to control managerial opportunism[J], , Review of Financial Economics , 2000:14-18
[12]陈守红,可转换债券投融资―理论与实务[M],上海:上海财经大学出版社,2005:1-365
[13]赵海滨, 我国上市公司可转换债券定价研究:[博士毕业论文],武汉;华中科技大学,2004
[14]何大钢,可转换债券的资金成本分析(J),预测,1999(05):24-26
[15]门庆兵,可转债对公司财务结构的影响及发行时机(J),财经科学,2002(03)
[16]Joseph Stampfli, Victor Goodman,The Mathematics of Finance[M](蔡明超 译),北京:机械工业出版社, 2004:81-90
[17]李秉祥,对可转换债券财务特性的研究[J], 西安理工大学学报,2002,(18):12-17
[18]Cox, J.C., Ross, S.A. and M. Rubinstein, Option Pricing: A simplified Approach[J], Journal of Financial Economics,1979,(7):229-263
[19]Connolly.K. B., Pricing Convertible Bonds[J],2000:17-18
[20]Aswath Damodaran,Investment Valuation 投资估价[M],1999:300-302