华东师范大学学报(自然科学版) ›› 2003, Vol. 2003 ›› Issue (4): 25-32.

• 论文 • 上一篇    下一篇

不可赎回可转换债券的价格分析

汪元培   

  1. 华东师范大学 数学系，上海 200062
  • 收稿日期:2002-01-03 修回日期:2002-02-26 出版日期:2003-12-25 发布日期:2003-12-25

The Pricing Analysis of Irredeemable Convertible Bonds

WANG Yuan-pei   

  1. Departmengt of Mathematics,East China Normal University,Shanghai 20062,China
  • Received:2002-01-03 Revised:2002-02-26 Online:2003-12-25 Published:2003-12-25

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。

关键词: 公司价值, 不可赎回, 转债, Black-Scholes, 双自由边界, 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.

Key words: rredeemable, convertible bonds, Black-Scholes, two-free-boundary, the vale of a company, rredeemable, convertible bonds, Black-Scholes, two-free-boundary