高利风险债券的定价及其对企业并购的应用-应用数学专业论文.docxVIP

万方数据 万方数据 A Thesis Submitted for the Degree of Master PRICING IN HIGH-YIELD BONDS AND ITS APPLICATION TO MREGERS WITH ACQUISITIONS Candidate : Zhuo Bu Supervisor : Professor Yuwen Wang Speciality : Applied Mathematics Date of Defence : June, 2016 Degree-Conferring-Institution : Harbin Normal University 摘 要 摘 要 近年来, 随着金融和经济的高速发展, “蛇吞象”式的企业并购现象无论在国 内还是国外越演越烈, 其中企业的融资问题已成为实现“蛇吞象”式企业并购的 核心问题. 由于银行严格的规章制度且苛刻的贷款条件, 很多不满足条件的微小企 业面临融资难的境遇. 作为证券市场上一种新兴的投资工具, 高利风险债券不仅兼 具融资的重要功能, 而且快速有效地实现风险转移, 因此高利风险债券引起金融市 场的更多关注, 同时掀起一波融资风暴. 高利风险债券的定价模型作为量化“蛇吞 象”式并购的工具, 无论从理论上还是现实的金融市场上, 都发挥着重要作用. 本文首先通过介绍“蛇吞象”式企业并购的案例, 详细分析高利风险债券 在企业并购中的重要作用和实际意义. 然后介绍高利风险债券的特点, 优势和发 展, 并介绍高利风险债券的一种――可转股债券. 本文主要通过鞅方法, 引用广义 Black-Scholes 定价模型中的资产定价基本定理与 Girsanov 定理得到可转股债券 定价模型及定价公式. 最后通过分析可转股债券的定价过程, 在原有的基础上, 考 虑内嵌上升敲入看涨障碍期权的高利风险债券. 对其定价过程中, 将收购成功时目 标公司的股票价格设定为障碍, 运用障碍期权的定价方法, 从而构建此高利风险债 券的定价模型, 即给出在广义 Black-Scholes 定价模型下上升敲入看涨障碍期权高 利风险债券的定价公式. 关键词 高利风险债券; 可转股债券; 蛇吞象; 广义 Black-Scholes 模型; 定价 I – Abstract Abstract In recent years, with the fast rapid development of finance and economy, the phenomena of “snake eats elephant”in mergers and acquisitions are expanding at home and abroad. The enterprise’s financing problem has become the core of corpo- rates’mergers and acquisitions in the form of “snake eats elephant”. Because of strict regulations and strict lending conditions in banks, the small enterprises with not meeting the conditions are in the difficult financing situations. As an emerging investment tool in market, high-yield bonds can not only finance but also transfer the risk efficiently and quickly. So it has paid more attention to high-yield bonds, even leading to a wave of the financing storm. As a quantized tool of “snake eats elephant”in mergers and acquisitions, the model of high-yield bonds pricing, in both the theory and reality of financial market, play an important role. By introducing the case of “snake eats elephant” enterprises’ in mergers and acquisitions, this paper firstly analyses t