Pricing Of Convertible Bonds For Several Special Types

Convertible bond (take "CB" for short) is a hybrid financial derivative, whichpossessing many characteristics of both Bond and Stock..As a fmancial derivatives，convertible bond has became one of the most important way of refinancing.So，pricing for convertible bond accurately becomes very important．In order to build a theoretically and practically valuable model, this paper firstanalyzes all the clauses of the Chinese convertible bonds, especially on the resetclauses, back-sell clauses and redemption clauses. Based on this analysis, we build amathematical model combining with the peculiarities of Chinese convertible bonds.We solve this model by partial differential equations and present the numericalresults together with some suggestions for the development of the Chineseconvertible bonds.In the first chapter，begin with the definition of convertible bonds，introduced the convertible bonds markets history at home and abroad.In thesecond chapter,we introduce the basic knowledge of convertible bonds in thesemodels.In chapter3,using the method of partial differential equation(PDE) andworking in the framework of black-scholes, in the end, we find formula to priceconvertible bond with the fixed conversion clauses.In chapter4,an issue of convertible bonds pricing problem with jump diffusionprocess is studied in this chapter. A mathematical model for convertible bondspricing has been developed and an analytical solution has been proved by martingalemethod.An issue of putable convertible bonds pricing problem with default risk isstudied in chapter5.In chapter six,we point out the existing problems and thefuture directions to further study.