转换期权

第4章对第3章提出的3类期权问题分别就分期开发期权、延迟投资期权、转换期权项目分别进行了典型案例实证分析。

The fourth chapter discusses the case of option to staged investment , option to deter investment and option to switch use .

可转换期权及其定价分析

The Convertible Option and Its Pricing Analysis

总结了用实物期权方法分析研发项目的基本思路。4.对可延迟期权、可转换期权、可开拓期权、多阶段期权在研发项目中的应用进行了分析。

This part analyzed the application of option to defer , to switch , option to expand and compound option in R & D investment .

实物期权的应用分析，对研发管理中存在的延迟期权、放弃期权、转换期权、增长期权和复合期权的应用进行了分析。

The application analysis of real option , this part analyzed option to defer , option to expand , option to abandon , option to switch and compound option in R & D investment .

方法上，除了运用目前存在的金融期权定价模型来评估一些实际存在的投资计划，还在期权定价理论的基础上针对转换期权建立了一个模型并计算它的价值。

From method , we have applied the financial option models to evaluate the real-options existing in real investment projects , we focus on exercising the existing models and analyze what shortcomings are there when we do so .

第二章比较和归纳了可转换债券期权部分价格确定的经典理论，阐明了本文采用二叉树模型的原因。

In Chapter 2 , we compare the classic theory about option pricing in convertible bond . We clarified the reason of using binomial - tree model .

如果发行人经营良好，其股票市场走势合理，可转换债券的期权被行使的可能性极大，发行人就可以有效的降低债务融资成本。

If the operation of the issuer is fairly good and the stock trend is fine , the call option embedded in convertible bonds will probably be implemented . Thus the issuer may decrease the debts and financing cost through the conversion of the bonds into stock share .

第五章在论述了可转换债券的B-S期权定价模型之后，运用B-S模型对2003年发行的代表性的可转换债券进行定价分析，并分析了B-S定价方法的局限性。

After describing B-S option pricing model of the convertible bond , the fifth chapter , using B-S model for pricing analysis of convertible bond representativeness in 2003 , and then analyses the limitation of B-S pricing method .

可转换债券的交换期权定价模型

A Pricing Model of Convertible Bond in Light of Exchange Option

可转换公司债券复合期权定价方法

Pricing Convertible Bonds Based on Compound Option Model

研究了依概率准则，投资者如果进行风险对冲，将可转换债券中的期权风险套期，而仅仅获取固定收益时的动态投资策略。

This paper uses the probability criterion to guide the investor hedge and can hedge the option risk in the convertible bond and only get the fixed interest .

凭借半隐式格式构造了投影超松弛方法，综合反映了可转换债券的美式期权特征与巴黎期权特征，给出了一个具有赎回公告期限制和软限制赎回条款可转换债券的定价模型；

Presents a pricing model of convertible bond with the soft constraint and notice period constraint call provision , which can reflect the the American and Parisian feature of convertible bond ;

实物期权可分成八种类型：延迟投资、分阶段投资、扩张、收缩、停启、放弃、转换和企业增长期权。

There are eight types of real option , such as option of deferring investment , of periodical investment , of expanding , of shrinking , of ceasing , of abjuration , of conversion and of increasing of company .

可转换债券内含的转换期权可以缓解信息不对称产生的信息成本，从而改善公司绩效。

The pervious literature shows that convertible bonds can decrease the information cost caused by information asymmetry and improve the performance .

基于代理成本的分析认为，可转换债券的可转换期权可以降低股东与债权人之间的代理成本，也可以抑制管理者的机会主义，从而起到改善公司绩效的作用。

The literature review also show that convertible bonds can decrease the proxy cost between , shareholder and creditor , and the opportunism of the management . According to agency cost theory , convertible bond issuing will improve the performance of company .

由于可转换债券发行中涉及期权价值方面的条款特别多，因此，本文核心部分就是如何确定可转换债券发行中各种条款对期权价值影响，从而准确求得可转换债券期权部分价值。

For the more terms of value related to options , this paper puts the core on how to determine the impact of option value in the convertible bonds issue in order to obtain an accurate value of the convertible bond options .

基于这一定价模型，可转换债券的价格可分解为转换期权的价格和简单债券的价值之和。

Based on the formula , price of the convertible bonds is decomposed into prices of converting option and the value of simple bond .

可转换债券是一种介于普通债券和普通股票之间的混合型金融衍生工具，其实质是利率较低的公司债券附加上一个转股价格比发行时基准股票价格较高的转换期权。

Convertible Bond is a derivative instrument between common bond and common share .