Study on the pricing of convertible bonds with reset terms带重置条款的可转换债券定价研究.pdfVIP

ëò^±å=Ü dÔƒ £á £á •Iå=Ü u–Â⁄u20V90cì–ßñ2010cßå=Ü §èI¬ay ¬Åp¨´Éòdûß3!q¸/¥ §!˝¥å=¨´O\21 ê߲u1å=|K]5 ï1400¨1duå=?\I7K|ûmÉÈ·ßÉ I ßISå=dê° 8cÑvk/§§Ÿâ{•Iå= ^±O˛Ü IkXNıÿ”É?ßÿUÏÇ Iâ{ßœdÈå= OAœ^± £Xò^±§ÉdÔƒwcèá ©ƒk0å=Ü ƒVg⁄^± ±9Ÿ3ISu– {§ß3z{(Reduced-Form Approach) µee߃=d ïe?^ ± ÈÎYòûmdòÜ$uäûßáÈ=d ïeN˘ òïeN^±ßÇÔ· ÉA å=†á©êßØKd.ßø ^MATLAB ^á©OœLÑAk‚{!AÇ©{Èd.?1Íä Oé Å¿JIÂ=?1¢yԃߢyLßÇ^†á©ê ß.AÇ©{énÿdÇÜ¢S|dÇèCß茋å =dÇܶdÇÉ5ßÈu|dÇ⁄.dÇÉm)…ß Ç詤Ÿ•œ Öc: å=Ü ; ò^±; ÑAk‚{; niœ; AÇ©é{ ä ˆ: ‹ÊI çPì: £w I Abstract The valuation of convertible bonds with reset clauses The Valuation of Convertible Bonds With Reset Clauses Abstract The development of convertible bonds in China started in 1990s, by the end of 2010, it has become one of fixed income securities class that gain the highest income for investors. At this time, there are 21 convertible bonds trading in Shanghai and Shenzhen stock exchange, and the market issue size is over 100 billion yuan. However, convertible bonds has a short history in China. Compared to the foreign countries, there isn’t a mature way of pricing the convertible bonds yet. Considering the differences of clauses from other countries, we can’t copy those mature methods from other countries.Therefore, it is critical that we should do more research on the pricing of convertible bonds with special clauses, reset clauses for example. Firstly ßthis paper introduces basic knowledges of convertible bonds, including defi- nitions !special clauses and developments of domestic and overseas.Under the struture of Reduced-Form Approach, this paper considers reset clauses of conversion price, which