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给出了附有巴黎期权特性的重置条款的可转债定价模型,通过把实际交易日数作为时间变量的节点数,以及把实际股价作为股价变量的节点之一,建立不等间距立体网格,采用有限差分方法求解模型,得到了海化转债的价格路径.结果表明,理论价值较好地反映了市场价值的变化趋势,重置条款提高了可转债价值,这对可转债的投资决策具有重要意义.
The pricing model of convertible bonds with the terms of the Paris option is given. By using the number of actual trading days as the number of nodes of the time variable and one of the nodes that have the actual stock price as the stock price variable, an unequal spacing three-dimensional grid , The finite difference method is used to solve the model and the price route of Haikou Convertible Bonds is obtained.The results show that the theoretical value reflects the changing trend of market value better and the reset clause increases the value of convertible bonds, Investment decision-making is of great significance.