The Research And Empirical Analysis Of The Convertible Bond Pricing Model With The Introduction Of Term Structure Of Interest Rates

Convertible bonds in China started late, but in recent years, with the vigorous development of the financial economy, the convertible bond market develops with high speed and becomes an important part of the capital market. Therefore, the pricing research of convertible bonds has also been given more and more attention. However, due to convertible bonds'complex structure with a variety of terms, it is rather difficult to do the pricing. Furthermore, the convertible bond market of our country is still in the early stages of development, and there is a big difference with foreign mature markets. This brings greater difficulty in the pricing of the convertible bonds.To address the above problems, this thesis attempts to find a scientific and effective method which is suitable to the development status quo of China's convertible bond market. It should fully consider the impact of ancillary provisions and pricing the convertible bonds properly.The thesis starts with the convertible bonds'concept and advantages. The necessary of pricing convertible bonds is identified on the basis of introducing and summarizing the development status quo of convertible bond markets both at home and abroad and also the convertible bond pricing research theories and models. Secondly, selects the binomial tree model for pricing convertible bonds by comparing a variety of pricing methods and combining with the actual situation of the domestic market. Considering the influence of the risk-free interest rate's random fluctuations on convertible bonds, the thesis uses the term structure of interest rates, which is derived by the cubic polynomial. The thesis establishes a two-factor pricing model which is based on the interest rates and stock prices and considers credit risk. The influence that the option values brought by the various ancillary provisions give to the convertible bonds'values is considered. At last, an empirical analysis is done through a binomial tree model, by using the sample data of the related convertible bonds in the stock market, which verifies the validity and practicality of the model and methods established in this thesis.