Convertible Bond Pricing Theory Model Of Pricing Efficiency

Since 1992, we insure the first convertible bond ,the scale of CB market expand rapidly. Especial in 2003 , the CB become a important way to refunding in capital market. In secondary securities market , how to fix the price of CB is becoming the focus . However comparing to the rapid developing market , the research on these question is delaying.As a composition financial product of common share and share , CB has the character og bond and option . The value of CB is made up with straight bond value and call option value. The fact that influence the common bond value of CB is as follows ,coupon rate ,face value, return rate and the time from maturity. The fact that influence the call option value of CB is much more , including price of share market ,convertible , prices, time , the fluctuating rate of share prices and non-risk interest etc. The most important thing to fix the CB price is to make sure of the option price.Based on some supposing, Black and Scoalt conclude the answer of option price . In terms of the formula including five fact, just as share price ,the fluctuate rate of share price, the call option price ,the time from maturity ,non-risk interest, tney work out the price formula of option price .As the important way in option price ,B-S model become a popular research model in market research.. Although B-S model is based on some supposing condition , the developing model of B-S model can be used to fix the price of option price .From the cases analysis ,we can know there is a large margin between theory price based on B-S model and market price . Especially before convertible period, the margin can be 10% .The difference continue to reduce after convertible period . The low efficiency of theory model in market price is due to the lack of sell-out system in our capital market. In re-just model ,we suppose the market can not bi sold out . So the return rate of portfolio of evolving securities and stock investment is equal to the return rate of stock investment, this method is non-difference effect. Owing to the complicated model and lack of material, we do not practice analysis , just concluding the re-just mind.