机构地区: 华南理工大学工商管理学院
出 处: 《系统工程学报》 2010年第2期241-245,276,共6页
摘 要: 在Black-Scholes模型和国内传统债券定价模型的基础上,讨论了可转换债券的模糊定价问题.对于连续复利率、无风险利率、股票价格、股价波动率等均为模糊数的情况,给出了可转换债券的模糊定价模型和相应的算法.最后,对上海国际机场股份有限公司发行的可转换债券进行了实证研究,计算结果显示了该模糊定价模型在预测可转债市场价格方面的有效性. On the basis of the Black-Scholes model and the traditional bond pricing model the convertible bond fuzzy pricing problem is discussed. The fuzzy pricing formula for convertible bonds and its algorithm are given under the assumption that the risk-free interest rates, stock prices, stock price volatility are fuzzy numbers. The empirical results of Shanghai International Airport Corporation' s convertible bonds show that the fuzzy model presented in this paper is effiective in forecasting the convertible bond' s market price.
领 域: [经济管理]