| 转股价修正条款价值与可转债定价研究 |
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| 引用本文： | 张庆华,王春发.转股价修正条款价值与可转债定价研究[J].南京财经大学学报,2010(1):50-56. |
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| 作者姓名： | 张庆华 王春发 |
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| 作者单位： | 浙江财经学院金融学院; |
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| 基金项目： | 国家自然科学基金《期权组合非线性VaR度量模型及数值方法研究》(编号:70771099(G0115)) |
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| 摘 要： | 在研究可转债定价问题时考虑转股价修正条款是十分必要的。尤其是在2008年的熊市中,各可转债纷纷调低转股价,转股价修正条款给予了投资者保护作用不容忽视。基于AFV模型,本文建立了包含转股价修正条款的定价模型,并利用有限差分法进行数值求解。
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| 关 键 词： | 可转换债券 AFV模型 转股价修正条款 有限差分法 |
The Valuation of Convertible Bonds with the Reset Clauses |
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| ZHANG Qinghua,WANG Chunfa.The Valuation of Convertible Bonds with the Reset Clauses[J].Journal of Nanjing University of Finance and Economics,2010(1):50-56. |
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| Authors: | ZHANG Qinghua WANG Chunfa |
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| Institution: | School of Finance/a>;Zhejiang University of Finance and Economics/a>;Hanzhou 310018/a>;China |
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| Abstract: | It is necessary to pricing convertible bonds(CBs) incorporating the Reset Clauses. Especially in the bear market in 2008, many convertible bonds have announced the implementation of the Reset Clauses.This protective effect form which the Reset Clauses to investors can not be ignored.We explicitly take the Reset Clauses into consideration based on the AFV model, and rely on finite difference method.A numerical calculation of the pricing of an example convertible bonds is provided. |
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| Keywords: | convertible bond AFV model Reset Clauses finite difference method |
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