不可赎回可转换债券的价格分析
The Pricing Analysis of Irredeemable Convertible Bonds
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摘要: 作者通过把可转换债券的定价问题化为Black-Scholes 方程的双自由边界问题,证明必存在最优转股边界和最差转股边界。当公司价值超过最优转股边界时,转债持有人应立即实施转股,此时收益最大。当公司价值跌破最差转股边界时,转债持有人如果实施转股,将血本无归。
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关键词:
- 公司价值 /
- 不可赎回 /
- 转债 /
- Black-Scholes /
- 双自由边界
Abstract: In this paper, we prove that there exist two boundaries which are the optimal exercise boundary and the worst exercise boundary by changing the valuation of convertible bonds into the two-free-boundary promblem of the Black-Scholes equation.When the value of a company acrosses increasingly the optimal exercise boundary,the return of its irredeemable bonds is largest if they are converted into its stocks.When the vale of a company acrosses decreasingly the worst exercise boundary,the value of its irredeemable bonds is zero if they are converted into its stocks.
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