CAJ | 학술논문

运用障碍期权定价的思想和首次通过时间风险中性概率分布，就可转债赎回条款建立价值评估模型，并以模型为基础，定量分析设计变量对赎回条款价值的影响，得到：面值越大，赎回权价值越大；回购价格越大赎回权价值越小。触发比率越大赎回权价值越大；触发价格越高，赎回权价值越小。在触发比率不变前提下，转换价格越大，赎回权价值越小。硬回购保护期不变条件下，赎回权价值随转换期或者到期时间的延长而升高，达到一个高点后，赎回权价值又随到期时间的继续延长而下降等结论。同时澄清了人们长期以来对转换期（或到期时间）影响赎回权价值的错误认识。
운용장애기권정개적사상화수차통과시간풍험중성개솔분포，취가전채속회조관건립개치평고모형，병이모형위기출，정량분석설계변량대속회조관개치적영향，득도：면치월대，속회권개치월대；회구개격월대속회권개치월소。촉발비솔월대속회권개치월대；촉발개격월고，속회권개치월소。재촉발비솔불변전제하，전환개격월대，속회권개치월소。경회구보호기불변조건하，속회권개치수전환기혹자도기시간적연장이승고，체도일개고점후，속회권개치우수도기시간적계속연장이하강등결론。동시징청료인문장기이래대전환기（혹도기시간）영향속회권개치적착오인식。
Based on the thought of obstacle option pricing and risk neutral probability distribution of the first passtime, this paper sets up the convertible redeemed clause pricing model, and analyzes the design variables＇ influence on it.It concludes that the greater the face value is, the greater the redeem right value is the larger the redeem prices is, the smiler the redeem right value is it the greater to the touch- off rate, the greater to the redeem right value; the higher to touch- off prices, the smaller to the redeem right value. With the constart touch- off rate the larger the change prices is, the smaller the redeem right value is. With the prolonged the period for conversion or the due time, the redeemed right value elevates to a high spot and then drop.