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The Analysis On Pricing Of Convertible Bonds Based On Black-Scholes Model

Posted on:2018-04-17Degree:MasterType:Thesis
Country:ChinaCandidate:X ChenFull Text:PDF
Abstract/Summary:PDF Full Text Request
With the gradual development of China’s economic market,many new financial derivatives continue to emerge,and various financing products flourish.Among them,as a strong force,convertible bonds are paid more and more attention by companies and investors.Convertible bonds are a relatively complex financial derivative product.It is a kind of bond with stock option.It has the characteristics of general bonds,but compared to ordinary bonds,there are many differences,such as under certain conditions,it can be converted,redeemed,sold back and so on.As the convertible bonds has the dual functions of hedging and financing,it began to widely implemented in the United States in the 1980s.And since 2006,China has developed a more standardized market.In recent years,the issuance of convertible bonds has gradually become an important way for large companies to market financing.However,after all,convertible bonds has a short development history in China.Relatively speaking,it is a new type of financial derivatives;so many investors do not understand it.For such a complex financial derivatives,the pricing of its discussion is the core of the study.In this context,this paper is an empirical study of China’s market based on the pricing of convertible bonds.In the selection of the model,as the Black-Scholes model conforms to the domestic European option pricing,and its variable data is easy to be calculate,so this article chooses it as the pricing model to carry on the research.In order to make the research more intuitive,this paper uses the case of Haiyun convertible bond.This paper creatively introduces the B-S model into the whole life cycle of the Haiyun convertible bond,track the price change from the issue to the delisting and the deviation of the value theory.It is worth noting that the theoretical prices of the B-S model before and after the revision are calculated and compared.Through the empirical analysis of Haiyun convertible bond,this paper gets the following viewpoints:There is a certain deviation in the pricing of China’s convertible bonds.This kind of deviation is mainly caused by the immature market and the defective convertible bond design.This paper gives qualitative solution to this problem,including easing the conditions of issuance,actively promoting the development of convertible bond funds and improve by the issuance period,conversion prices and terms of the design and so on.In addition,in the convertible bond market in China,Black-Scholes pricing model needs to be optimized by adding variable factors to be more suitable to domestic conditions.It is hoped that this research can promote the investors’understanding of the convertible bonds market,and the issuer of the product can be more innovative in the design of the terms,so as to contribute to the development of China’s financial derivatives.
Keywords/Search Tags:Convertible bonds, Pricing model, Black-Scholes model, Haiyun convertible bonds
PDF Full Text Request
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