基于利率期限结构的我国可转债定价分析-管理科学与工程专业论文.docxVIP

PAGE PAGE VI addition,the market price is underestimated and appropriate explanation is given. Secondly, the solutions of convertible bonds by the numerical simulating technique (finite difference method and finite element method) and Black-Scholes option pricing model are calculated and compared in this paper.we find that the numerical solutions have little inaccuracy than the analytic solution,but the differences between the finite difference method and the finite element method is very small which can be nearly ignored. Finally,the influences of interest rate and coupon are studied one by one which have close relationship with the pricing method. Key Words: Term Structure Model of Interest Rate; Polynomial Spline Function; Black-Scholes Model; Finite Difference Method; Finite Element Method 目 录 摘 要·················································································· I Abstract ················································································· II 1 绪 论 1.1 可转债定义与特征 ···························································(1) 1.2 国内外可转债市场发展现状················································(2) 1.3 国内外可转债定价研究现状················································(4) 1.4 研究背景与意义 ······························································(9) 1.5 研究内容与创新点 ························································· (10) 2 利率期限结构 2.1 利率期限结构的概念和研究意义········································ (12) 2.2 利率期限结构研究综述 ··················································· (13) 2.3 利率期限结构的构造 ······················································ (14) 2.4 利率期限结构研究实证 ··················································· (16) 3 期权定价方法 3.1 Black-Scholes 期权定价理论 ············································· (20) 3.2 蒙特卡罗模拟 ······························································· (23) 3.3 二叉树模型 ·································································· (24) 3.4 有限差分法 ······················································