基于NIG模型下可转换债券定价——以电气、电子及通讯设备制造业为例

Pricing of Convertible Bonds Based on the NIG Model—A Case Study of Electrical, Electronic, and Communication Equipment Manufacturing Industry

摘要: 随着金融市场的不断完善，可转换债券逐渐成为了投资者关注的热点。由于可转换债券是一种复杂的金融衍生品，如何对可转换债券进行价值估算成为一些学者和从业者深入探讨的问题。基于可转换债券的基本特性，一般而言，可将可转换债券的价值拆分为债券价值和期权价值。在此基础上，本文首先结合NIG过程的特征函数推导出期权部分的定价公式，然后结合债券票面的贴现价值对可转换债券进行定价。在实证部分，对电气、电子及通讯设备制造业的部分可转换债券的正股价格进行数值模拟。结果表明，基于NIG模型得到的理论价值高于可转换债券上市当日的实际价格。

Abstract: With the continuous improvement of the financial market, convertible bonds have gradually become a hot topic of concern for investors. As convertible bonds are a complex financial derivative, how to estimate the value of convertible bonds has become a topic of in-depth exploration for some scholars and practitioners. Based on the basic characteristics of convertible bonds, generally speaking, the value of convertible bonds can be divided into bond value and option value. On this basis, this article first derives the pricing formula for the options part by combining the characteristic function of the NIG process. Then it prices the convertible bonds based on the discounted value of the bond face. In the empirical part, numerical simulations are conducted on the underlying stock prices of some convertible bonds in the electrical, electronic, and communication equipment manufacturing industry. The results indicate that the theoretical value obtained based on the NIG model is higher than the actual price of convertible bonds on the day of listing.