The Research Of Investment And Pricing Model Of Convertible Bond

Convertible bond is a convertible financing tool between bond and stock, convertible bond concurrently have features of bond, stock and option.Its issue- clauses include interest rate, convertible ratio and convertible price, convertible date, call provision, put provision, strike-price-adjusted provision etc, convertible bond can reduce corporate financing cost and improve capital structure, investor can share corporate performance and income of convert bond.Firstly, in the thesis author analyzed the basic characteristic and typical characteristic of convertible bond, and synthesize analyzed the basic situation factor,macroscopic market environment factor, convertible bond issue-clauses design factor.Secondly, from the aspect of publisher and investor's income and risk, the thesis analyzed investment characteristic of the convertible bond, issue-clauses design was the essential factor for the convertible bond successful published.Finally, in consideration of volatility of both firm market value and term structure of interest rate ad the correalation between them, the thesis deduced Black-Scholes double-factors option pricing model. At the same time, the thesis also compared and analyzed the consistency and difference between convertible bond theoretical pricing and practical pricing, it afforded theories analysis and substantial evidence method for publisher design issue-caluses and investor make choice of investment strategy.