| 基于B-S期权定价模型的可转换债券定价实证分析 |
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| 引用本文： | 刘澄,郭靖.基于B-S期权定价模型的可转换债券定价实证分析[J].济南金融,2010(3):78-80. |
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| 作者姓名： | 刘澄 郭靖 |
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| 作者单位： | 北京科技大学经济管理学院; |
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| 摘 要： | 可转换债券是一种混合金融衍生工具,它把相应的股票看涨期权内嵌在传统的公司债券之中,具有债券和股票的双重性质,因而可转债的定价问题逐渐为企业和投资者所关注。本文借助Black-Scholes定价模型研究定价理论,对Black-Scholes定价模型进行修正,体现了红利发放对可转换债券定价的影响。
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| 关 键 词： | 可转换债券 Black-Scholes模型 红利 定价 |
An Empirical Analysis on Convertible Bonds’Pricing based on B-S Option Pricing Model |
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| Liu Deng Guo Jing.An Empirical Analysis on Convertible Bonds’Pricing based on B-S Option Pricing Model[J].Jinan Finance,2010(3):78-80. |
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| Authors: | Liu Deng Guo Jing |
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| Abstract: | Convertible bond are a kind of hybrid financial instruments, including corresponding call option embedded in the traditional corporate bonds. The enterprises and investors gradually focuse on the problems of pricing on convertible bonds in China financial market..This paper explores the pricing theory of convertible bonds based upon the Black-Scholes model, amending the model in order to manifest the influence of adding the dividend factors. |
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| Keywords: | convertible bonds black-scholes model dividend price |
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