Of Convertible Bond Pricing Model And Empirical Analysis

Convertible bond is hybrid derivative security that has characters of both stocks opinion and bond.it endowed investors a right for assigned period may change bond into the companyvs stock of certain amount. convertible bond get the favor of market more and more. deeply because of it's raising fund and the function of avoiding risk with the development of china's financial market, convertible bonds has become an important financing tool for the listed companies and to be concerned by the majority of people.so,the appropriate pricing and accurate estimate will have contribute to the convertible bond improvement and development.By linking with the qualitative and quantitative analysis on the basis of former,this dissertation studied detailedly the features,structure and factors of onvertible bond, then research the existing convertible bond pricing model analysis method. compared and summarized their respective advantages and disadvantages.This paper focused on ways to use the equivalent martingale measure. firstly, derived the additional call provision's and without any provision's martingale pricing formula under convertible bonds underlying stock no dividend payment. secondly, derived the additional call provision's and without any provision's martingale pricing formula under had dividend payment. thirdly, using the formula was deduced in front did empirical analysis to the china's two convertible bonds in circulation on the market, from multiply perspectives analysis thel difference of actually price and theoretical price, founded the china's convertible bonds value was undervalued.Finally, for the china's financial markets lag behind, defective and the terms of the design of convertible bonds have many unreasonable,this article will put forward reasonable proposals.