| 股票收益独立性对可转换债券定价的影响 |
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| 引用本文： | 杜一鸣. 股票收益独立性对可转换债券定价的影响[J]. 安徽农业科学, 2006, 34(24): 6630-6632 |
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| 作者姓名： | 杜一鸣 |
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| 作者单位： | 上海交通大学安泰管理学院,上海,200030 |
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| 摘 要： | 在我国利用布莱克-休斯期权模型对可转换债券中的期权价值进行定价得到了广泛应用,但股票收益率独立性是模型成立的必要条件。笔者给出了收益率与股价存在相关的情形下布莱克-休斯期权模型的修正形式,通过对样本股票的进一步实证研究表明,直接应用布莱克-休斯期权模型会高估中国可转换债券的价格。
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| 关 键 词： | 布莱克-休斯期权模型 独立同分布 可转换债券 |
| 文章编号： | 0517-6611（2006）24-6630-03 |
| 收稿时间： | 2006-09-18 |
| 修稿时间： | 2006-09-18 |
Impact of Return Independence on Convertibly Pricing |
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| DU Yi-ming. Impact of Return Independence on Convertibly Pricing[J]. Journal of Anhui Agricultural Sciences, 2006, 34(24): 6630-6632 |
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| Authors: | DU Yi-ming |
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| Affiliation: | Aetna School of Management, Shanghai Jiantong University, Shanghai 200030 |
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| Abstract: | The Black-Scholes model is widely applied the option of the price contained in convertible bonds.The independence and identical distribution(i.d.d.) of stock return is prerequisite of Black-Scholes option model.In this article it was a trial to establish the modified Black-Scholes option model without the independence prerequisite and the resulr was found that Black-Scholes option model with independence prerequisite would overprice the convertible bonds after an empirical analysis. |
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| Keywords: | Black-Scholes model Independent and identical distribution Convertible |
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