The Study On Convertible Bond Pricing Methods In China

Since Fisher reported the stock price is undervalued distinctly in The IPO, there are lots of researches on monetary and securities market. Although the study of convertible bond pricing methods in China is not perfectly, it attracts common attention of investor, issuer and administrator. The correct convertible bond pricing is of great significance to publisher, investor and convertible bond market. Convertible bond has an advantage compared to usual financing instruments and hedge instruments because as a typical mixed financial product, it has the character of bond, stock and option. The convertible bond is the most complicated financial derivative, so its pricing is very complex. My dissertation is dedicated to introduce the main serious about convertible bond pricing on the basis of the former research, combined with the practical situation, using modern finance mathematics.The first part is introduction, expounding the development course of convertible bond in oversea and home market and the summary of the current situation of convertible bond pricing methods. The second part is the convertible bond's factor and pricing correlative factor, introducing the convertible bond's advantage compared to pure stock and bond, analyzing the coupon rate, call provision, put provision and the lower conversion price; the four factors which is influencing the straight bond pricing: bond yield, bond coupon rate, bond deadline and market rate; the stock pricing index correlative: earnings per share, earning ratio, net assets value per share, accumulation fund per share.The third part is the convertible pricing theory and model. The convertible value consists of straight bond value, convertible value and option value. The option value consists of immanent value and time value. The main factors which are influencing the convertible bond option value are stock price, convertible price, the deadline of option, fluctuation ratio of stock price and risk-free rate of interest. The article introduces Black-Scholes Model, Binary Tree Model, Monte Carlo Model and Finite Difference Method. The fourth part is the core of the article, it concludes the calculation of Kainuo convertible bond's straight bond value and option value on the basis of Black-Scholes Model. The fifth part is convertible bond investment strategy according to the convertible bond risk. The sixth part is the full text summary.In brief, my dissertation put forward a comprehensive value analysis framework. It not only provide a train of thought for the after research, but also provide a reference for the issue of convertible bond in China and provide basis of selecting right convertible bond for investor.