The Listed Convertible Bonds Model Build And Simulation Test Research In China

Since the first convertible bond(namely CB)-Qiong energy-was born in China on1991, domestic CBs’onward journey of development had been started. Later, according to refinancing comparison from2002to2004, the proportion of CBs to refinance gradually become dominant position. The second year after the non-tradable shares reform, the CB market has finally entered a stage of rapid development in China. our CBs of Longsheng, Bohui, Wangfu and other three listed in2009, and the total raised4.661billion yuan; in2010, CBs of Bank of China, ICBC, Tongling and other three did those too, and they total funding reached69.41billion yuan, which is14.89times in2009. The markets balance of CBs had reached29.361billion yuan by the end of2009, and it had become82.891billion yuan at the end of2010, which is2.82times that of2009.However, the financing amount of our CB in the listing of the company’s total funding amount to only6.77%. There is a big gap between our country and others (c.g.Europe, the United States and other developed countries). On the other hand, there has been a high proportion of equity financing, the scarcity of investment products, financial innovation difficult in China’s capital market. Looking foothold in the international capital market, CB pricing issues related to investor behavior, including a variety of complex factors, which has revealed the uncertainty, non-linear and non-rational characteristics. Therefore, there are important academic significance and broad application prospects for carrying out the complex conditions under multi-factor CB pricing theory model and numerical implementation technology for the promotion of the CB market health and international development to keep up with the forefront of the subject development and to learn mature experience from foreign CBs market.This study is divided into three steps:Firstly, The essence of the CBs is an exchange option, and the call provisions and the put provisions on them own the characteristics of Paris option and American option.Consider dividends from the underlying stock of CBs&credit spreads, and then bring American exchange options tool,nonlinear least squares method and Monte Carlo simulation for pricing the CBs. At last,select CSI five active trading CBs to do some empirical analysis of them.Secondly, according to the provisions of the liquidation order in "Law of the People’s Republic of China on Enterprise Bankruptcy (2007)", the guarantees were divided into the ones owned priorities of repayment and the general, and derive two types of guarantees pricing formula from the two-stage debt. Obtaining the approximate solution, via numerical integration method, and applying the methods of CRR and Monte Carlo simulation to test the accuracy of solution. Then the premium factors have been carried out on static analysis, comparative static analysis and dynamic analysis. Finally, with actual survey data it verifies the applicability of the model and makes a comprehensive review for the model.The last, at present, the domestic enterprise in the issue of CBs are usually must have good credit institutions provide the guarantee. To research the impact of the guarantee on the CBs’ value, this article introduces the guarantee factors into CBs’ model. After investigating how different types of guarantee influence risk premia, the works combine common provisions to analysis rules of CBs’ value changing systematically under the their comprehensive effect. Finally, select three representative listed CBs to do some empirical analysis.The results show that:First of all, the effect of predicting is well,also,taking CB-for-equity swap as an American exchange option is appropriate. Besides, the study also reflect that the risk premia of CBs is related to the deadline and the value of principal and coupon, so it can more clearly reflect the value of the debt secured in turn each part the role that difference.In this way, the article includes the introduction, research ideas and research methods, the three-step research, the main conclusions and policy Policy Implications.