| 我国可转债定价方法研究 |
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| 引用本文： | 杨宏亮,卢宗辉.我国可转债定价方法研究[J].广播电视大学学报,2006(2):83-86. |
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| 作者姓名： | 杨宏亮 卢宗辉 |
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| 作者单位： | 国信证券综合研究所,广东,深圳,518049 |
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| 摘 要： | 可转债是一种较为复杂的金融衍生产品。对我国可转债的理论价格与市场价格的差异做实证分析,表明在资本市场无法满足做空套利机制下,可转债理论价格远高于市场价格,需用偏最小二乘回归方法进行可转债的定价预测。
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| 关 键 词： | 可转债 二项树 偏最小二乘回归(PLS) |
| 文章编号： | 1008-0597（2006）02-0083-04 |
| 收稿时间： | 2005-06-02 |
| 修稿时间： | 2005年6月2日 |
Research on the Pricing Method of the Convertible Bonds in China |
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| YANG Hong-liang,LU Zong-hui.Research on the Pricing Method of the Convertible Bonds in China[J].Journal of TV University(Philosophy & Social Sciences),2006(2):83-86. |
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| Authors: | YANG Hong-liang LU Zong-hui |
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| Abstract: | Convertible bonds is a kind of hybrid financial products.This article has investigated the difference between the theoretical prices and the market prices of the convertible bonds in China.It is verified that the theoretical prices are higher than the market prices of the convertible bonds in China for the limitation of short sales.To solve the problem of pricing convertible bonds,the partial least squares method is presented. |
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| Keywords: | Convertible bonds Binomial trees Partial least squares |
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