我國可轉換債券定價的理論與實證研究.pdf

1、中南大學碩士學位論文我國可轉換債券定價的理論與實證研究姓名：王青方申請學位級別：碩士專業(yè)：金融學指導教師：劉振彪20071101ABSTRACTAconvertiblebondisahybridinstrumentwhichisinthemiddleofbondandstockBecauseofitsconvertibilityconvertiblebondshavedevelopedveryfastinthewholeworldInt

2、helasttenyears，ChineseconvertiblebondsmarketalsohasarapiddevelopmentalongwiththeperfectionofChinesestockmarketItisofgreatsignificancetoevaluateconvertiblebondsforissuingcompaniesdesigningissuanceprovisions，investorsreaso

3、ninglyinvesting，andconvertiblebondsmarketdevelopinghealthilyThispaperstudiesthevaluationofconvertiblebonds，bymakinguseofmodemfinancialmathematics，financialengineering，partialderivativefunctionandBinominaltreemodelWeimpro

4、vethetraditionalBlackScholesmodelbyanalyzingthesubstanceofconvertiblebonds’termsthen，wedotheempiricalanalysisandthecontrastiveresearchesamongtraditionalBlack—Scholesmodel，ameliorativeBlackScholesmodelandBinominaltreemode

5、lbyusing1579groupsdateofnineconvertiblebondsbetween1Jun2006and31Jul2007AndfindingthattheameliorativeBlack—Scholesmodelreduces707％windagethanthetraditionalBlack—Scholesmodel，theBinominaltreemodeljusthasa408％windage，SOtheB