管理工程学报2011，Vol.25Issue(1)：184-191,8.
关于我国可转债定价修正模型的实证研究
Empirical Research of Modified Valuation Model in Chinese Convertible Bond Market
摘要
Abstract
A convertible bond is a hybrid bond with debt- and equity- features. It is a derivative for which values are derived from the joint values of the debt and equity. The valuation of a convertible bond is difficult because complex relationships exist between debt and equity. Exotic additive terms in Chinese markets are making accurate valuations of convertible bonds even more difficult.The existing literature simplifies the effect of additive terms on the valuation of Chinese convertible bond. The common practice is to add provisions and additive terms in order to address a convertible bond's valuation problems in PDE framework. However, this simplification practice is often not applicable to other situations. The goal of this paper is to discuss different contexts and analyze how these contexts may affect the price of different additive terms in Chinese convertible bonds. We modify the valuation model for convertible bonds according to additive terms, and use LSM and Finite-difference Method to calculate the bond value.The first section of this paper introduces a valuation model according to the Tsiveriotis & Fernande model. This model separates the value of convertible bond into two parts, cash part and equity part. Under this framework, we deal with conversion rights, call provisions, put provisions and the additive term about modifying provision call levels. Finally, we provide PDE of convertible bond values and its boundary and conditions.The second part introduces the steps of the least-squared Monte Carlo approach and compares this approach with the FiniteDifference method, a popular PDE numerical solution. The result of LSM is very close to that of Finite-difference Method, but the calculation speed of LSM method is quicker than that of Finite-Difference method.The third part is our empirical research of the convertible bond market in China. First we price the existing convertible bonds in China market and compare their market values with theoretical values. Second we modify the value model according to one kind of convertible bonds which has some special terms to modify provision call levels. Third, we discuss and analyze the impact of these terms on the theoretical and empirical values of convertible bonds.Our empirical study shows that most of convertible bonds in the Chinese market have been overvalued. Market data shows that investors in the market do not recognize the values of the compulsory strike-price-adjusted provision for convertible bonds. This provision restricts the financing function of convertible bonds.关键词
可转债/无套利原则/最小二乘蒙特卡罗方法/向下修正条款Key words
convertible bond/ no arbitrage principle/ least-squares-Monte Carlo method/ strike-price-adjusted provision分类
管理科学引用本文复制引用
刘大巍,陈启宏,张翀..关于我国可转债定价修正模型的实证研究[J].管理工程学报,2011,25(1):184-191,8.基金项目
国家自然科学基金资助项目(10771131) （10771131）
国家自然科学基金资助项目(10971127) （10971127）
教育部科技创新工程重大项目培育资金资助项目(708040) （708040）
上海财经大学"211工程"三期重点学科建设资助项目 （）
