Analysis Of The Pricing Error Of Convertible Bonds In My Country Based On The BS Model And The Countermeasures

At present,the convertible bond developes rapidly in China's securities market and is welcomed by listed companies as a high-quality,high-efficiency financing method.However,the research on the pricing of convertible bonds is relatively backward.The black-scholes pricing model has strong applicability to China's convertible bond market,On the one hand,its calculation process is relatively simple and parameters can be easily obtained.On the other hand,China's convertible bonds have European-style options.It is suitable to use this model.However,due to the unavoidable complexity of the convertible bond itself,its pricing mechanism has strong professionalism,and there are certain differences in the bond market operation mode between China and the West,so there is bias in using the black-scholes pricing model to pricing convertible bonds in China.Under this background,this paper mainly analyzes the reasons for the black-scholes pricing model's error in the pricing of China's convertible bonds and then gives the improvement measures.It selects the case of Sany convertible bond listed in January 2016,and introduce the variable time node of stock price change into pricing model to calculate the theoretical value.Through the analysis,we mainly obtained the following points: The factors that cause errors in the black-scholes pricing model's pricing of convertible bonds in China are mainly the following three aspects.Firstly,the market for domestic convertible bonds is not yet mature,and their pricing is affected by related systems and policies;Secondly,there are certain risks because of the complex structure of the convertible bond,and the issuer's influence and other factors also increase this bias;Finally,the black-scholes pricing model itself does not conform to the premise of the characteristics of China's market characteristics and other limitations.Then according to the reasons derived from China's convertible bond pricing situation and case analysis,this paper proposes targeted and perfect measures.Through research,analysis and comparison,find out the causes of the errors in the selected pricing model,and then give out improvement suggestions to the future research work.At the same time,distinguish the similarities and differences of China's convertible bond market and foreign convertible bonds indirectly,wish the domestic convertible bond pricing model more practically applied.