Research On Pricing Of Convertible Bonds In China Based On Black-scholes Model

Convertible bond is a special kind of corporate bond.The holder of a bond can convert the held bond into a designated company's stock within a specified date.Although China's convertible bond market started earlier,China's convertible bond market has been developing very slowly before 2017.The introduction of new asset regulations in 2017 and the implementation of new subscription methods for the issuance of convertible bonds led to an explosive growth in the convertible bond market.In just one year in 2017,a total of 44 bonds were issued on the China's convertible bond market.Debt,the issuance size reached 94.711 billion yuan,an increase of up to 346% year-on-year.Convertible bonds have become a hot topic in China's capital market.This paper is a study of the pricing of convertible bonds,based on the Black-Scholes model,to study the pricing of China's convertible bond market in the context of the significant expansion of the convertible bond market and the new way of credit subscription.This article first introduced and then introduced the theoretical knowledge related to convertible bonds,combed the relevant provisions of convertible bonds,and introduced the main methods of pricing domestic convertible bonds and the influencing factors of convertible bond prices.Then,this paper uses Yuhong Convertible Bond as an example,pricing it through the Black-Scholes model,taking into account the redemption terms and the effect of the sale-back clause in the process of pricing,it was found that the theoretical price of Yuhong Convertible Bonds is higher than its actual value.Then from one to all,the analysis of the pricing of all convertible bonds traded on the Chinese market was conducted by means of the analysis of Yuhong Convertible Bonds,and it was found that there was a large-scale undervaluation phenomenon in our convertible bond market.Finally,based on the results of the previous studies,this paper analyzes the causes of the undervaluation of China's convertible bond market,and provides suggestions for improving the pricing of China's convertible bond market.