假定可转换公司债券标的股票和公司资产的价格过程满足马尔可夫机制转换模型, 同 时考虑股权稀释效应和公司违约风险, 采用测度变换和风险中性定价理论得到了可转换债券 的定价公式. 理论分析和数值算例表明了马尔可夫机制转换模型以及股权稀释效应的引入可 以防止可转债价值被高估, 同时发现了不同初始经济状态下的可转换债券价值存在明显差异. 关关关键键键词词词 : 可转换债券; 马尔可夫机制转换模型; 股权稀释效应; 违约风险

The pricing processes of the stock and corporate assets for convertible bonds follow the Markov regime-switching model, while taking the equity dilution effect and default risk into account. This study aims to obtain a pricing formula for convertible bonds using change of measure and risk-neutralized pricing theory. Theoretical and numerical analyses show that the introduction of the Markov modulation model and the equity dilution effect can prevent the overvaluation of convertible bonds. The findings also indicate that convertible bond values differ obviously under various initial economic states.