Analysis Of Convertible Bonds Price With Reset Clauses

Convertible bond is a new financial tool that can be financing for enterprises, planning enterprise financial and withdrawing state-owned stock and so on. Because convertible bond has the dual nature of bonds and potential stock,it has attracted a wide spread attention of investors and fund raisers.Evenmore,it gets more and more graces from the global capital market.It is a investible trend to establish more new convertible bonds models with economic form diversification and investors' demand personalization.So,a lot of domestic and foreign scholars have made unremitting efforts and put forward many models such as stochastic volatility model,default risk valuation model,reset options model,jump-diffusion model and so on.On the basis of previous research,this paper studies further on the pricing of convertible bonds with reset clauses.The convertible bonds with reset clauses means that a recreative bonds can be finalized so that the holders have the right to price bonds,the holder has more profitable opportunities than the convertible bonds holder has.Due to the complexity of its structure,the pricing of convertible bonds is more difficult than stocks,bonds and even options.Basing on the emphatical analysis of the feature of reset clauses and convertible bonds,this paper was studied the pricing convertible bonds by equivalent martingale measure and the Martingale method when the short interest rates,relying on time t,is a non-random function,or short interest rates belongs to the Vasic(?)k model and corrected the pricing formula in text[9].