中国上市可转债模型构建及其仿真检验研究.doc

Carlo simulation for pricing the CBs. At last,select CSI five active trading CBs to do some empirical analysis of them. Secondly, according to the provisions of the liquidation order in Law of the Peoples Republic of China on Enterprise Bankruptcy (2007), the guarantees were divided into the ones owned priorities of repayment and the general, and derive two types of guarantees pricing formula from the two-stage debt. Obtaining the approximate solution, via numerical integration method, and applying the methods of CRR and Monte Carlo simulation to test the accuracy of solution. Then the premium factors have been carried out on static analysis, comparative static analysis and dynamic analysis. Finally, with actual survey data it verifies the applicability of the model and makes a comprehensive review for the model. The last, at present, the domestic enterprise in the issue of CBs are usually must have good credit institutions provide the guarantee. To research the impact of the guarantee on the CBs value, this article introduces the guarantee factors into CBs model. After investigating how different types of guarantee influence risk premia, the works combine common provisions to analysis rules of CBs value changing systematically under the their comprehensive effect. Finally, select three representative listed CBs to do some empirical analysis. The results show that: First of all, the effect of predicting is well,also,taking CB-for-equity swap as an American exchange option is appropriate. Besides, the study also reflect that the risk premia of CBs is related to the deadline and the value of principal and coupon, so it can more clearly reflect the value of the debt secured in turn each part the role that difference. In this way, the article includes the introduction, research ideas and research methods, the three-step research, the main conclusions and policy Policy Implications. Key words: Convertible bonds; Guarantee; Credit risk premia; LSM VII 1 绪 论 研究背景与意义 问题的提