Pricing Of Convertible Bonds Of Research

With the development of financial engineering, numerical algorithm and information technology, the pricing of convertible bonds is increasingly becoming a hot research topic at home and abroad and a series of models and methods have been released. The enterprises who issue the convertible bonds will have default risk potential, and this phenomenon is more and more obvious with the recent stock market downturn. Therefore using appropriate model is the key issue and convertible bonds can be converted successfully who has important practical meaning to the issuer and investor on the convertible bond pricing.This paper mainly studies the pricing of convertible bonds. After the introduction of convertible bonds associated with the option to phase content, Firstly, The default intensity is add to the pricing of convertible bonds under a stochastic model based on the interest rate and stock that is determined by the three factors of the value of convertible bonds, And it is given to the corresponding partial differential equations with the use of portfolio, no arbitrage principle and the Ito formula and other mathematical method. Secondly the convertible bonds are into common bonds and a call option from decomposition of convertible bond properties, how to solve the problem of the value of convertible bonds is transformed into how to solve the problem of solving the problem of option pricing. At the same time, investors in the selection of swap will be dilution effect will cause the circulation stock, which will have an impact on the pricing of convertible bonds. This paper therefore aims at whether investors decided to swap and the coefficients of the corresponding adjustment, using the Monte Carlo simulation makes sensitivity analysis for convertible bonds through various parameters at the same time. Lastly randomized treatment finally focuses on interest rates. Bonds generally a longer time, and When the stock price goes low continuously makes the convertible bond in a virtual state of value, the company often fixed conversion price downward at a certain time before the expiration of the bonds in order to protect the interests of investors. This paper is aiming at the replacement terms corresponding to the adjustment of the convertible bond pricing model of convertible price, and the pricing formula of the convertible bond is introduced after the change of measure and martingale pricing a detailed treatment of the effects of stochastic interest rates.