The Pricing Model Of Convertible Bond And The Influential Factors Analyses

The convertible bond is a kind of mixed financial tool and is welcomed by investors and factors, and the convertible bond market already has been developed into the independent bond market. The study on convertible bond is extremely broad and deepen no matter in international and domestic. However, it's a pity so far that there is a few systematic analysis to the convertible bond structure from the quantitative model. And in building convertible bond value model, people often will not consider convertible bond redeem clause and revision clause, but think that convertible bond value only consists of straight bond value and imbedded option value.This thesis regards convertible bond general structure as the analytic target, and according to Arrow-Debreu security idea, regards convertible bond as a mixed financial tool that makes up with clause rights and imbedded interests, and then sets up value models to each clause. Based on each model, This thesis has analyzed influential factors that impact on each clause value .At last, this thesis proposes query that conversion ratio is external variables, and set up a conversion ratio model from psychology of investor's investment decision, and has carried on parameter analysis.Thesis sets up three kinds of straight bond value model (zero coupon structure, quota structure, a step-up structure) by classical bond cash flow discount law, and then gets through the model that: First, straight bond value variation tendency is same as to that of coupon and face value, is reversion with the market discount rate. In the zero coupon structure, the straight bond value become big with deadline; In the quota structure and the step-up structure, if the free-risk rate is smaller than 'face interest rate factor', the deadline is longer, the straight bond value is bigger, on the contrary little. The degree, that the straight bond value is influenced by factors, is that the zero coupon structure is minimum, the quota structure is relatively large, step-up structure is the greatest and so on.The thesis sets up the conversion-right value model, and through the model gets the following conclusion: the conversion-right value is the reducing function of the conversion price, is the increasing function of stock price and its volatility, free-risk interest rate, the deadline and so on.Using knock at and enter obstacle option pricing method, thesis sets up the value models of the clauses of redeeming and revision separately. Based on models, it gets following conclusion: Redeem right value is the increasing function of stock price and its volatility,and the trigger-ratio, and is the reducing function of the free-risk rate; Redeem right value with depositing right extension that renew rise, reach a culmination, Redeem value with depositing right continuation that renew lengthen but drop. Revision right value to conversion price (conversion breadth), stock price's volatility, revision clause trigger-ratio is increasing function, It is the reducing function of the stock price and the free-risk rate, and drops with the extension of the existence deadline.Synthesizing above models, the thesis gets convertible bond value and assesses models. Using Wanke convertible bond issuing data and Shenwanke A-share market price data between June 28, 2002 and December 19, 2003, calculating the Wanke convertible bond model value from June 20, 2003 to December 19, 2003, and comparing it with the market in the same term, the thesis receives a better result.At last, the thesis proceeds from psychology of investor's investment decision and sets up the conversion ratio model, and then concludes that the conversion ratio is endogenous variable.