基于信用风险模型的可转换债券定价研究

可转换债券是一种介于股票和债券之间的混合证券,同时面临信用风险、利率风险和股票风险,对其定价较为困难.基于Duffie和S ingleton(1999)的信用风险模型,提出了一种新的可转换债券定价模型.而且,该模型考虑了债券的赎回情况.由于可转换债券受多种风险因素影响并有很强的路径依赖特点,应用Longstaff和Schwartz(2001)提出的最小二乘Monte Carlo模拟算法来计算每条模拟路径的最优停时,进而得到了可转换债券的价格.最后,应用一个简单的算例说明了模型和算法.

Pricing of convertible bonds based on credit risk model

Convertible bonds,which are intervenient between equities and bonds,are a kind of hybrid securities subject to credit risk,interest risk and equity risk,and are difficult to be priced.This paper proposes a new pricing model for convertible bonds based on the credit risk model proposed by Duffie and Singleton(1999).The model also considers the call condition.Because convertible bonds are affected by many risks,which have strong features dependent on paths,uses the least-square Monte Carlo simulation algorithm proposed by Longstaff and Schwartz(2001) to calculate the optimal stopping time along every path,and then, the prices of convertible bonds are got.At last,a simple example is used to illustrate the model and the algorithm.