Research On The Pricing Of Chinese Convertible Bonds Under The Trend Of Bull And Bear Market

In recent years,under the macro background of China's deleveraging,equity financing has begun to occupy an increasingly important position in the capital market.As a refinancing tool for listed companies,convertible bonds have been encouraged by the CSRC in recent years,and the convertible bond market,which has been in existence for more than 20 years,has experienced a blowout expansion since 2017.Convertible bonds are recognized by more and more investors for their low risk and high expected return because of the characteristics of both debt and option.The accurate pricing of convertible bonds is of great significance for the underwriter to reasonably determine the price of convertible bonds,the issuer to reasonably formulate issuing terms and the investors to rationally judge the investment value of convertible bonds.However,because convertible bonds contain many complicated clauses such as claims and options,their accurate pricing cannot be obtained by simple valuation models.Least square monte carlo simulation is the recognized for academics on convertible bonds pricing method,based on this,the paper further analyzes the relationship between stock market and the linkage of the convertible bond market and the process of convertible bond listing the actual price path and clauses in the execution,creatively and put forward the trends of callable bull/bear contracts under the framework of Chinese logic and the investment value of convertible bonds pricing,which is improved on the original model.Taking the "GOER convertible bonds" circulating in China's convertible bond market in the bull and bear cycle of 2015 and the 6 convertible bonds delistriated by implementing redemption clauses in the bull market as examples,the parameters in the original model and the execution strategy of convertible bond clauses are adjusted to verify the pricing efficiency before and after the improvement of the model.Results show that under the background of the trend of callable bull/bear contracts in the stock market,will join the trend item in the least squares monte carlo method and variance can make the model has better explanation and prediction accuracy,and in the case of the stock market in a rangebound market,the original of the least squares monte carlo method still has good prediction effect.