Pricing Mechanism And Empirical Study On Convertible Bonds In China

In recent years, the domestic large listing Corporation not only finance by means of shares and bonds, but also actively through the convertible bonds in the way of market financing. Therefore, more and more experts begin to study the pricing model of convertible bond. This thesis firstly focus on the main elements of convertible bonds, then analyze the mainly four typical type of the pricing models of convertible bonds from foreign countries, and then introduce the choosing of domestic pricing model of convertible bond and the development of domestic convertible bond model, then through the empirical analysis of domestic issue:the Golden Eagle convertible bond, we come to a conclusion as follow:Firstly, in the domestic convertible bond model, we choose the Black-Scholes as the pricing model. The model not only considers the European option pricing, but also has the advantages of convenient calculation. Through the Black-Scholes pricing model, it can provide a clear qualitative and quantitative conclusion for the financial derivatives trading strategy.Secondly, there are some pricing deviations in the pricing of domestic convertible bond. The deviation is mainly not only by the immature market of domestic convertible bond, but also by the lack of the design of convertible bonds. In this paper, through the qualitative analysis, the paper gives the solutions such as the relaxation of the conditions of issue of the convertible bond, and the promotion of the bond fund development and the design improvement such as the issued for a period, the conversion price and terms and so on.Thirdly, the Black-Scholes pricing model as the main model of the domestic convertible bond pricing model exists some errors, which need to be further optimized by the addition of variable factors and other conditions in order to meet the domestic conditions. This paper gives the qualitative analysis of price limits, the solution of enterprise income tax and other factors.