Empirical Study On Private Exchangeable Bond Pricing Based On The Monte Carlo Simulation

Recently,capital market fluctuates frequently and CSRC(China Securities Regulatory Commission)has taken several methods,for example speeding up IPO process and promulgating rules to restrict the refinancing in Main and GEM Board,to solving the existing problems in the market.Under this background,financing and investing parties both need new channels and new types of product.Because of the unique debt-and-equity swap mode,liquidizing remnant assets and helping shareholders sell shares,Private Exchangeable Bond(EB)is becoming the apple of the capital market's eyes.As a kind of innovative financial instrument,Private EB has a bright future.With the development of Private EB,debt issuers create many different clauses and participants have strong demands for the selection standards and pricing of this Private EB products.Since Private EB market is comparatively new,the pricing of Private EB is known to few.In consideration of the similarity between exchangeable bond and convertible bond,this article will firstly amend the pricing model of the convertible bond based on the clauses and characteristics of EB,and then use Matlab to create the model.After that,based on Monte Carlo Simulation,three classical Private EB cases will be used to examine whether the model is effective or not.The analysis of Private EB and the pricing model of Private EB not only provide a more practical pricing method,also help investors choose a right Private EB product.