China Convertible Bond Pricing Empirical Analysis And Arbitrage Study

This article firstly reviewed and discussed the born and development of the Chinese convertible bond market, then researched the pricing problem of the Chinese convertible bond, comparing the Black-scholes pricing model and Binominal-trees pricing model. Consequently, I use the B-S model and the market data to demonstrate the Chinese convertible bond.Then it comes out 3 results: B-S is applied to the Chinese convertible bond pricing problem. The theoretical price is always higher than the real exchange price. Theoretical price is higher than the real price in the long term, no matter in the bull market or the bear market.Finally, we discussed the arbitrage strategy in a short sell market environment or a no short sell market environment . We summarized the main point of view, advancing the further researching direction and the Chinese convertible bond developing suggestion.