基于风险价格均衡的可转换债券定价模型及实证研究.docx

基于风险价格均衡的可转换债券定价模型及实证研究
Abstract摘要
Thispaperproposesaconvertiblebondpricingmodelbasedontheriskpricingequilibriumandempiricalstudy.Themodelincorporatesnotonlythetraditionalfactorssuchasinterestrateandstockpricevolatility,butalsoconsiderstheeffectsofcreditriskandcallriskonthepricingofconvertiblebonds.Theempiricalstudyverifiesthevalidityandaccuracyofthemodelthroughtheanalysisofactualconvertiblebonddata.Theresultsshowthatourmodelcaneffectivelycapturethemainfeaturesoftheconvertiblebondpricing,providingausefultoolforinvestorsandissuerstomakeinvestmentdecisions.
本文提出了一种基于风险价格均衡的可转换债券定价模型，并进行了实证研究。该模型不仅考虑了传统因素如利率和股价波动对可转换债券定价的影响，同时也考虑了信用风险和赎回风险对可转换债券的影响。通过对实际可转换债券数据的分析，实证结果验证了模型的有效性和准确性。研究结果表明，本文提出的可转换债券定价模型能够有效捕捉可转换债券的主要特征，为投资者和发行人做出投资决策提供了有用的工具。
Introduction简介
Convertiblebondsareahybridsecuritythatcontainsbothdebtandequitycomponents.Ononehand,convertiblebondsofferafixedincomestreamtoinvestorssimilartotraditionalbonds.Ontheotherhand,convertiblebondsprovideanoptionforinvestorstoconverttheirbondsintoapredeterminednumberofsharesataspecificprice.Becauseoftheconversionfeature,investorsmaybenefitfromtheupsidepotentialoftheunderlyingstockprice.Convertiblebondsarewidelyusedincorporatefinanceasafinancingtool,astheyofferlowercostofcapitalandcanprovideflexibilityforissuerstomanagetheirfinancingneeds.
Thepricingofconvertiblebondsisacomplexissue,asitinvolvesthevaluationofboththedebtandequitycomponentsandtheconsiderationofvariousriskssuchasinterestraterisk,creditrisk,andcallrisk.TraditionalpricingmodelssuchastheBlack-Scholesmodelandthebinomialtreemodelhavebeenwidelyusedintheconvertiblebondmarket.However,thesemodelshavelimitedapplicabilityastheydonotfullycapturetheuniquefeaturesofconvertiblebonds,suchastheembeddedoptionandthecontingentnatureoftheconversion.
Inthisstudy,weproposeaconvertiblebondpricingmodelbasedontheriskpricingequilibrium.Themodelincorporatestheeffectsofinterestraterisk,stockpricevolatility,creditrisk,andcallriskonthepricingofconvertiblebonds.Ourmodelisdesignedtocaptureth