The Pricing Of Floating Rate Bonds Of Listed Companies In China Design And Empirical Research

Starting from the concrete circumstances on the domestic market of corporate securities in China, this paper sets out to analysis its developing history and draws some conclusions about its present standard of development. The study shows that the pricing of floating rate corporate securities in China is mainly determined by two factors: the Reference Rate and Basic Margin, the latter being mainly caused by the volatility of the Reference Rate, the credit risk and the liquidity premium. Applying the classic option pricing model of Black-Scholes to empirical studies, this paper tries to combine the two factors of debt default risk and share price volatility and finally managed to work out a corporate securities pricing method, which is characterized through accuracy of risk speculation.