目前,国内文献对可转债的研究都是基于国外的模型并针对中国的实际情况进行修正。研究可转债定价时有必要考虑转股价修正条款,本文基于AFV模型建立了包含转股价修正条款的可转债定价模型,并利用有限差分法进行数值求解,充分说明转股价修正条款对可转债定价的影响不容忽视。
Currently, the research on convertible bonds in literatures is all based on foreign models and makes modification according to China's reality. When we study the pricing convertible bonds, it is necessary to consider the Reset Clauses of pricing convertible bonds. Based on AFV Model, this paper establishes pricing model of convertible bonds including reset clauses for pricing convertible bonds, uses finite difference method to solve the numerical calculation and sufficiently demonstrates that the influence of Reset Clauses of pricing convertible bonds on the pricing convertible bonds can not be ignored.