The Empirical Analysis On Pricing Of Convertible Bonds Based On BLACK-SCHOLES Model

The convertible bond is a kind of more complex financial derivatives production. It is both a bond and an option. Firstly, it has the general characteristics of the bond: for issuers, it is a kind of low cost financing tools; for investors, it is a good hedge investment tool, after the expiration of the debt service. However, it is different From ordinary bonds. Under certain conditions, it can be converted to redeem, back to the sale, etc.. Because this convertible bond, relative to corporate bonds, is a more complex financial derivatives, and the pricing process will become complex than the corporate bond. At the same time, the convertible bond has the dual function of hedging and financing, since the80’s of the last century in the United States the boom of the convertible bonds, China since2006has standardized the convertible bond market. But the convertible bonds in China’s development time is short, it is still a kind of new financial derivatives, investors still lack of deep understanding of the product. In this background, this paper studies from the pricing of convertible bonds in the direction of the empirical analysis of China’s market, hoping that the study can contribute to the development of China’s financial products and at the same time to promote the Chinese investors in the convertible bond market understanding.The convertible bond is a kind of complicated financial derivative products, the pricing problem is the core of the product, because the pricing of convertible bonds including bonds and options. At the same time, the convertible bond is divided into non-separation of convertible bonds and detachable convertible bonds. Comprehensive consideration of the relevant research literature of the current domestic convertible bonds, based on BLACK-SCHOLES model to study the pricing of convertible bonds all in the early period, when our convertible bond market has not reached a relatively standard and relative prosperity time, and there is no separation of on-separation of convertible bonds and detachable convertible bonds. In this paper, the B-S model of convertible bonds and convertible bonds are analyzed respectively from the empirical research based on data from the recent convertible bond market. The convertible bond has become China’s second largest circulation of financing tool, so it has more research significance for the empirical analysis in China market.In this paper, the domestic and foreign convertible bonds market research, at the same time, the comparison of several convertible bond pricing model, describes the reasons for choosing BLACK-SCHOLES model and based on the empirical analysis of convertible bond market in our country, and on the basis of this, some views and suggestions on the pricing method of convertible bond market of our country develops.