CAJ | 학술논문

可转换债券的赎回条款具有巴黎期权的性质,定价过程中应考虑赎回权利对可转换债券价值的影响;基于实物期权和期权博弈理论,可转换债券的定价过程可以与动态博弈过程类比;可转换债券发行公司与持有者之间是零和博弈,应用无风险套利原理,结合赎回条款的特点,将巴黎期权的性质纳入可转换债券定价过程,给出相应的定价方程。以2010年9月16日上市的塔牌可转换债券为例,借助数值算法和相关数据,计算出可转换债券价值,通过对比并结合持有者的最优策略,解释赎回公告期和巴黎期权特性对可转换债券价值的影响。研究结果表明,巴黎期权的引入降低了可转换债券的价值;随着公告期长度的增加,可转换债券的价值越大。上述性质与可转换债券发行公司设计赎回条款的目的一致,在一定程度上赎回条款具有迫使持有者转股的作用。
가전환채권적속회조관구유파려기권적성질,정개과정중응고필속회권리대가전환채권개치적영향;기우실물기권화기권박혁이론,가전환채권적정개과정가이여동태박혁과정류비;가전환채권발행공사여지유자지간시령화박혁,응용무풍험투리원리,결합속회조관적특점,장파려기권적성질납입가전환채권정개과정,급출상응적정개방정。이2010년9월16일상시적탑패가전환채권위례,차조수치산법화상관수거,계산출가전환채권개치,통과대비병결합지유자적최우책략,해석속회공고기화파려기권특성대가전환채권개치적영향。연구결과표명,파려기권적인입강저료가전환채권적개치;수착공고기장도적증가,가전환채권적개치월대。상술성질여가전환채권발행공사설계속회조관적목적일치,재일정정도상속회조관구유박사지유자전고적작용。
The redemption provisions of convertible bonds own the Parisian options characteristics so the impact of redemption rights on the value of convertible bonds should be considered in the pricing. Based on theories of real options and option game, there is an analogy between the pricing of convertible bonds and dynamic game process. It is the zero-sum game relationship be- tween the issuing houses of convertible bonds and holders. Based on risk-free arbitrage principle and features of redemption provi- sions, the study brings the Parisian options characteristics into the pricing of convertible bonds to get corresponding pricing equa- tion. Taking the convertible bonds Tapai listed on September 16, 2010 as an example, the research calculates its value by means of numerical algorithms and related data and demonstrates how the redemption notice period and Paris option characteristics affect the value of convertible bonds by comparing and combining holders＇ optimal strategy. The results show that the introduction of Parisian options reduces the value of the convertible bonds, which increases along with the time accumulation of notice period. These findings are compatible with the design purpose of the redemption provisions by issuing houses of convertible bonds. To a certain extent, the redemption provisions play a role in forcing holders to converse shares.