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本文通过引入博弈理论分析可转债条款之间相互作用对发行人与投资者行为的影响。在此基础上,本文考虑了可转债的路径依赖性及美式期权特性,采用最小二乘蒙特卡罗模拟(Least Square Monte Carlo Simulation,LSM)方法来为可转债进行定价。本文以截止2011年3月11日中国可转债市场上流通的16只可转债为例对该模型的定价效率进行验证,实证结果表明LSM模型对可转债的定价具有比较高的准确度,模型定价误差小于可允许的5%的误差范围。
This paper analyzes the influence of the interaction between terms of convertible bonds on the behavior of issuers and investors through the introduction of game theory. On this basis, this paper considers the route dependence of convertible bonds and the characteristics of American options, and adopts the Least Square Monte Carlo Simulation (LSM) method to price the convertible bonds. This paper validates the pricing efficiency of the model by taking the 16 convertible bonds circulating in China’s convertible bonds market as of March 11, 2011 as an example. The empirical results show that the LSM model has relatively high accuracy for the pricing of convertible bonds , The model pricing error is less than the permissible 5% error range.