Pricing And Analysis Convertible Bonds Based On Interest Rate Model

As a kind of derivative product that appeared in Chinese financial market in the 1990 s,the convertible bond has developed rapidly in the market for more than 20 years.According to the data obtained from Wind,the Issuance scale of convertible bonds in the market reached 79 billion yuan in 2017,which has become another major financing tool for listed companies.At present,what is urgently needed in Chinese fast-developing convertible bond market is the method of effectively pricing convertible bonds.However,the derivative characteristics of convertible bonds itself make it difficult to effectively price them,and the additional clause of Chinese convertible bonds has a path dependence on stock prices,so This paper mainly studies the pricing of convertible bonds.In this paper,the additional clauses are not considered in the study.According to the partial differential equations of the convertible bond prices under the three interest rate assumptions given by the predecessors,the Monte Carlo simulation method is used to calculate the theoretical price of convertible bonds.The four convertible bonds were priced for 60 consecutive trading days,the t-test found that the theoretical price is higher than the market price.Therefore,after further analysis,after considering the additional clause,the difference between the theoretical price and the market price will fall closer to the market price,so the additional clause will be amended,and the method of this paper can better price convertible bonds and provide reference for investors.In addition,the article also analyzes several other reasons that may lead to errors.