Research On Market-oriented Debt-to-equity Swap Pricing Based On Black-Scholes Model

In the face of China's enterprises leverage high interest rates,the state council on October 10,2016 for a "about actively yet prudently to reduce enterprise's opinions on leverage,points out that the falling lever is one of the main ways of" orderly market bank debt to equity ",and at the same time release the attachment on the guidance of marketization of bank debt to equity,it marks the turn to start a new round of debt in our country.Through the implementation of debt-to-equity swap,the debt ratio and financial cost of enterprises can be effectively reduced,the financing structure can be optimized,and enterprises facing temporary financial crisis can be helped to tide over the difficulties and return to the road of sound development.In the market-oriented debtto-equity swap,enterprises are the suppliers and Banks are the demanders.Considering their own interests,there is an imbalance between supply and demand,and pricing is the key.Previously issued guidelines pointed out that listed companies can refer to secondary market stock trading prices,but no trace of non-listed.So,for the unlisted debt-for-equity enterprises,how should the pricing be done? This is exactly the problem that this article needs to discuss.On the basis of the existing literature research,this paper sorts out the existing domestic and foreign researches on debt-for-equity swap and pricing methods to understand the research progress of the existing literature.Secondly,the concept of market-oriented debt-for-equity swap and related basic theories are elaborated,and the domestic frequently used enterprise valuation methods are compared.It is proposed that this paper will use option pricing method to price non-listed debt-for-equity swap enterprises,which will pave for the following part.Finally,through the optimization and modification of the black-scholes model,the revised pricing formula is further derived,and the quantitative problems of the volatility and correction factors in the formula are explained.It is pointed out that the specific situation of debt-to-equity swap enterprises can be analyzed in practice.At the end of the paper,it summarizes the whole paper and looks forward to the future development of the pricing mechanism.At the same time,the author points out the shortcomings of the paper,that is,the quantitative methods of some factors in the obtained pricing formula need to be further improved.