基于偏最小二乘回归的可转债定价模型及其实证研究

Abstract

Abstract: This paper creatively develops the convertible bond pricing model based on Partial Least Square Regression(PLS).We formulate this model from the American option pricing model based on PLS.Compared with the traditional models,this model originated from a new thought,and can solve the convertible bond pricing problem under multi-factors and path-dependence.Using the data from Aug.1st 2004 to Aug.1st 2005 in Chinese capital market,we calculate the market prices of 31 convertible bonds during this period.The results show that the theoretical price of PLS model has a good fit with the actual price of convertible bond.The ratio of price error is lower than 5%.This testifies that the convertible bond pricing model based on Partial Least Square Method is practical and can provide theoretical support for investment decision.

Key words: convertible bond, Partial Least Square, binomial tree, American options, options pricing

CLC Number:

F830

HAN Li-yan, MOU Hui, WANG Ying. Convertible Bond Pricing Model Based on Partial Least Square Method and Its Empirical Research[J]. Chinese Journal of Management Science, 2006, (4): 81-87.

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Convertible Bond Pricing Model Based on Partial Least Square Method and Its Empirical Research

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