CAJ | 학술논문

基于传统的可转债最小二乘蒙特卡罗模拟定价方法,通过使用随机Faure序列和方差减小技术,有效地降低模型估计结果的误差,使用考虑解释变量和被解释变量误差的全最小二乘回归方法代替普通的最小二乘回归方法,提出可转债的全最小二乘拟蒙特卡罗定价方法,并给出该定价方法的具体算法步骤。以2002年10月16日发行的燕京可转换债券为例进行实证分析,从可转债的理论价值、计算标准差以及模型的运行时间等几个方面与传统的蒙特卡罗方法进行比较。研究结果表明,使用全最小二乘拟蒙特卡罗方法进行计算得到的结果更为合理,且估计误差和计算时间都更少,从而验证了该方法在可转债定价应用上的有效性。
기우전통적가전채최소이승몽특잡라모의정개방법,통과사용수궤Faure서렬화방차감소기술,유효지강저모형고계결과적오차,사용고필해석변량화피해석변량오차적전최소이승회귀방법대체보통적최소이승회귀방법,제출가전채적전최소이승의몽특잡라정개방법,병급출해정개방법적구체산법보취。이2002년10월16일발행적연경가전환채권위례진행실증분석,종가전채적이론개치、계산표준차이급모형적운행시간등궤개방면여전통적몽특잡라방법진행비교。연구결과표명,사용전최소이승의몽특잡라방법진행계산득도적결과경위합리,차고계오차화계산시간도경소,종이험증료해방법재가전채정개응용상적유효성。
Based on the Least-Squares Monte Carlo method,the Total Least-Squares Quasi-Monte Carlo method for convertible bond pricing was proposed and the details of its algorithm were given.First,Faure sequences as well as variance reduction technique were used to effectively reduce the variance of the estimation results.Second,the Total Least-Squares Quasi-Monte Carlo method which took into account the errors of both the explanatory variables and explained variable was used to substitute the ordinary least squares regression method.At last,an empirical analysis of Yanjing Convertible bond issued on October 16,2002 was given to make a comparison between TLSQM method and LSM method,in aspects of the theoretical value,calculation errors and the running time.The results show that the theoretical value by TLSQM method is more reasonable,and TLSQM method has smaller estimation error and shorter computing time than LSM method,which proves TLSQM method is more effective for the pricing of convertible bonds in China.