Pricing Research And Investment Strategy Analysis Of Convertible Bonds

Convertible bonds are becoming an important instruction of investment and finance in Chinese securities market. The research of pricing on convertible bonds helps to issuer determining reasonable issued price, and helps to investors estimating their value. Today, the research of pricing on convertible bonds is a hotspot in academe and operators. The paper mostly uses the binomial tree model connected with Monte Carlo to construct model and empirical study on convertible bonds, and analyses the strategies of investment and arbitrage on convertible bonds. The paper mainly study on several aspects:Firstly, on the basis of retrospection and generalization on price of convertible bonds, considering factors of pricing on domestic convertible bonds, constructs the binomial tree model with credit risks. Nowadays, credit risks haven't been considered in many models of pricing on convertible bonds, but considering/according to attributes of the convertible bonds, it is necessary to consider the factor of the credit risks. In addition, it is a great innovation that the paper makes a quantified research on the calling provision and put provision using Monte-carlo simulation.Secondly, the paper gives an example with MinSheng convertible bond, using the model the paper constructing makes computer programme, and makes empirical study on MinSheng convertible bond. And then, the paper analyses the causes of existing obvious difference between theoretical value and practical value.Lastly, by researching on composing of convertible bonds value, mostly analyses strategies of investment and arbitrage on convertible bonds. By researching, the paper gets some useful conclusions and suggestions that are guidances and references for investors.