东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2010, Vol. 31 ›› Issue (2): 301-304.DOI: -

• 论著 • 上一篇    

基于机会规划的债转股时机研究

马大明;苑莹;曲伯;刘洋;   

  1. 东北大学工商管理学院;
  • 收稿日期:2013-06-20 修回日期:2013-06-20 出版日期:2010-02-15 发布日期:2013-06-20
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70901017);;

On the opportunity based on chance programming to transfer convertible bond to stock

Ma, Da-Ming (1); Yuan, Ying (1); Qu, Bo-Xun (1); Liu, Yang (1)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110004, China
  • Received:2013-06-20 Revised:2013-06-20 Online:2010-02-15 Published:2013-06-20
  • Contact: Ma, D.-M.
  • About author:-
  • Supported by:
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摘要： 从可转换债券所蕴含的期权特性出发,将投资者对标的股票的投资价值分析纳入决策框架.基于多阶段情景树模型,考虑投资者在情景树的节点进行转股决策;构建出存在市盈率机会约束的0-1整数机会规划,并利用邯钢转债的历史数据进行实证分析.得出如下结论:对邯钢转债而言,能以95%的概率水平确保在整个转股期间持有可转换债券,以获得稳定投资收益为最优决策;与传统的金融期权相比,由于存在投资价值的机会约束,基于0-1整数机会规划的金融期权价值存在有限上限,从而限制了投资者的投资风险.

关键词: 可转换债券, 期权, 机会规划, 整数规划, 蒙特卡罗模拟

Abstract: Starting from the option characteristics implied in convertible bonds, the investment value analysis made by an investor was included in the decision-making framework. Based on the multi-stage scenario tree model, the 0-1 integral chance programming was done with the constraint on P/E chance and the investor's decision for transferring bond to stock at a scenario tree node both taken into account. With the empirical analysis using the actual data in the case that the bond had been transferred to stock in HAN-STEEL, the following conclusions were drawn. For the investors the optimum decision is to hold convertible bonds so as to gain the stable return on investment if ensuring that the probability in the whole period of the bond transferring to stock is up to 95%. Compared with the conventional securities option, the upper limit of the value of securities option is restricted by the 0-1 integral chance programming because of the chance constraint on the investment value, thus limiting the investment risk for investors.

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