By gaming between the issuing company and the investors, this paper analyzes the decision objectives and the optimal behaviors for the company to exert the options of adjusting the strike price and the option of redemption after the issuing of convertible bonds. 本文从公司和投资者之间的博弈入手,研究可转债发行后,发行公司在行使调整转股价格的权利和赎回的权利时的决策目标和最优决策行为。
Because the American option can be executed at any time. And the conversion, Redemption, call terms of convertible bonds makes it possible to advance the implementation. 因为美式期权是可以随时提前执行的,而可转换债券的转换条件,赎回和回售条件一旦被触发也是可以提前执行的。
Subsequently, relevant scholars in the model and added back to the sales conditions, credit risk and redemption policies, the pricing of convertible bonds were studied. 随后,有相关学者在模型里面又加入了回售条件,信用风险和赎回政策等因素,对可转换债券定价进行了研究。
Because convertible bonds with the properties of conversion 、 redemption and call. This makes the process of convertible bonds and American options pricing has some similarities. 因为可转换债券具有提前进行转换、赎回、回售等特性,这就使得可转换债券的定价过程和美式期权有一定相似的地方。
Having started late in China, however, the study on convertible bonds still focus on the pricing of convertible bond, few study concerns on the redemption strategy of convertible bonds. 但由于可转债在我国起步较晚,众多国内学者关注的重点依然在于可转债定价方面,对可转债赎回策略的研究少之又少。
Therefore, starting from the theory of the convertible bond redemption strategy, this article summarizes previous studies and brings up a new variable-time value, which plays a crucial role in the redemption of convertible bonds but is ignored before. 因此,本文首先从可转债赎回策略的理论入手,在总结之前学者研究的基础上,提出了一个被忽略、但在可转债赎回策略中有极其关键作用的变量&时间价值。
Thus, the greater the time value, the greater likelihood enterprises tend to redemption of convertible bonds. 所以,转换权的时间价值越大,企业就越倾向于提前赎回可转债。
Convertible bonds issued by the pricing bias is possible, and the model does not take into account the market rate, redemption rights, the right to sell back to the characteristics of convertible bonds. 发行的可转换债券的定价也是可能存在偏差的,以及模型没有考虑到市场利率、赎回权、回售权的可转债的特征。