Research Of The Model Of Convertible Bond And Its Pricing Theory

Fischer Black & Myron Scholes's seminal paper "The pricing of options andcorporate liabilities" published in 1973 marks the beginning of financial derivative pricing theory. Since then, the study of financial derivative pricing theory has been full of vitality and reaped rich achievements. These researches are based on application to the mature security market in the West. The security market in our country is young, about ten years, and is a rising market. It is quite different from the mature market in many aspects, and also researches of the derivatives pricing theory and application fall behind the West. It is very important and significance to use the financial derivative pricing theories in the West for reference and to strengthen the researches on financial derivative pricing theory and application in our securities market.Convertible bond is one of the important financial derivatives. The hybrid feature of convertible bond -both equitylike and debtlike-make its pricing complicated. Convertible bond issueing of list company has a long history abroad. But such products could be found in Chinese capital market in 2000.So in this dissertation, convertible bond pricing theory and applications are studied in different financial market models.In the famous Black-Scholes model, assume that the stock price is affected by a stochastic factor, and obeys logarithm normal distribution, riskless interest rate and yield and fluctuate rate of stock price is all constant, and stock no pay dividend. Then the pricing formula of venture discount bond and warrant is analyzed. Based on theorem 2.1.2, the pricing formula of convertible bond is obtained. Suppose that basic asset-stock price is affected by some stochastic factor, it satisfy to Ito stochastic differential equation, stock pay dividend, the modified Black-Scholes model is established. So we can obtain the pricing formula of convertible bond.Then a discrete time pricing model for convertible bond under stochastic interest rate is studied. Suppose that basic asset-stock pay discrete dividend, convertible pay discrete interest of bond, the pricing formula of convertible bond is obtained.