The Decomposition Pricing And Research Of Mezzanine Capital

Professional mezzanine funds around the world now have more than(?)500 billion invested.Mezzanine fund-raising has expanded well in many countries.Risk,return,etc.is determined by whether the primary debt,equity funds to raise funds in a way called mezzanine finance.However,the information that affects the pricing of mezzanine capital is changing rapidly at present,and the pricing efficiency of existing numerical methods still needs to be improved.The most efficient pricing method,nature is analytical pricing method.In the existing literature,for the relatively simple mezzanine capital,although has obtained its analytical formulas,but these analytical formulas are not applicable in practice,because they are based on the company value as the target asset,its relevant parameters(such as company value volatility)is difficult to estimate.It is on the basis of this consideration that a multi-factor model is introduced and generalized to define a new decomposition method of derivative securities,and then to study the valuation of mezzanine capital.In this paper,based on the summary of the existing capital asset pricing literature,according to the characteristics of the specific terms of China's mezzanine capital,the underlying stock price as the underlying asset,according to the risk-neutral pricing principle,from simple to complex in turn for different complexity of mezzanine capital pricing formula is derived.Although the formulas are more and more complex in form,the market assumptions and parameter estimates are the same as those of option pricing formulas,so these formulas also have good applicability.They are more practical than previous analytical formulas because they no longer take the company's value but the underlying stock price as the underlying asset.Compared with the existing numerical pricing methods,they are not only simple and easy to implement,greatly improve the pricing efficiency,but also can directly calculate various hedging parameters,and so on.At the same time,the decomposition method proposed in this paper can better analyze the impact of credit risk on the value composition of ordinary mezzanine capital,so as to better hedge risks and hedging.In addition,this paper also analyzes the impact of credit risk on the theoretical value of special mezzanine capital with redemption and resale clauses.Therefore,these studies will contribute to a deeper understanding of the value composition of various mezzanine capital and the respective effects of each specific clause and credit risk.