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可转换公司债券的巴黎期权特征
  • 摘要

    目前我国可转换债券的各种限制性条款具有明显的巴黎期权特征,其对可转换债券的定价以及最优执行策略的确定有着极大的影响.综合分析了可转债赎回条款的硬限制、软限制以及赎回公告期限制对可转换债券定价的影响,重点讨论了可转换债券赎回条款软限制中的巴黎期权特征,建立了路径依赖条件下可转换债券定价问题的控制方程,基于投资者与发行者双方博弈的结果给出了相应的边界条件,建议采用全网格模拟数值方法求得问题的解.

  • 作者

    何志伟  龚朴  He Zhiwei  Gong Pu 

  • 作者单位

    华中科技大学管理学院,湖北,武汉,430074

  • 刊期

    2005年2期 CSSCI

  • 关键词

    可转换公司债券  巴黎期权  路径依赖  奇异期权  最优执行策略 

参考文献
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