Study On The Pricing Of Convertible Bond Market In China

Convertible bond is a kind of special enterprise bond whose holder has the right to convert it into stock in a specified time.It has dual characteristics of bond and option.It is a complex and innovative financial derivative with complex structure.Convertible bond in China starts late.It is still at the initial stage of development with a few investment varieties.Referring to the experience of foreign market development,we can see that the precise pricing of convertible bonds is conducive to the further maturing and development of the market which has great significance.This paper has combed the research theory and achievements of convertible bond pricing at home and abroad,and analysis the elements and terms of convertible bonds.We divided the value of Convertible bond into four parts from the two angles of its obligatory right and stock right: the value of the obligatory right the value of the stock right+the value of the resale clause the value of the redeem clause.Then compared the advantages and disadvantages of the Black-Scholes model,the two forked tree theory and the Monte Carlo method,We find that the BS model suit for the actual situation of China's market.We select “San Yi Zhuan Zhai” as the sample to start an empirical test.The conclusion is that convertible bonds in China is underestimated indeed.Finally,we summarize the shortcomings of this study and the key direction of future research,and put forward suggestions on the improvement of the convertible bond market and pricing model in our country.Through this study,we hope to provide ideas and research directions for the more effective and accurate application of the convertible bond pricing model in our market,and to further realize the transfer of the convertible bond pricing model.We hope to achieve the market of convertible bond developing at a high speed.