| The convertible bond is a convertible financing tool between bond and stock. Convertible bond concurrently have features of bond and stock, also is a better risky investment tool, appropriate investment combinations under the same income can reduce investment risks, satisfy especially requirement of investor. The pricing problem is one of the important tasks in present finance statistics research. The method of martingale analysis as a kind of foreland theory tool occupies an important position in the application of the pricing model of convertible bonds. Making use of martingale theory to research the pricing of convertible bonds has important realistic meaning for perfecting financial market and promoting the development of convertible bonds.This paper introduces martingale theory into the pricing model of convertible bonds, uses the martingale method to analyse and discuss the pricing model of simple convertible bond. Based on the conclusion we use the method of martingale analysis and stochastic integral to deduce this species pricing formula of convertible bond according to factual circumstance which an individual stock pays dividends at regular intervals rather than continuously and interest rate is random fluctuate, and provides a transformation and description from discontinuity to continuity. The paper makes the demonstration analysis to the given pricing model through looking up some past years data of Han Dan steel securities, gains a comparison figure of traditional pricing model of convertible bond, analyses the results, finds out the good points and disadvantages,thus can further optimize this model.By means of martingale measure and the method of stochastic analyze to further discuss the n-factor pricing model of convertible bonds with accessorial clauses. This model contains more marketing information and is completely in accordance with the rolling law of financial market, and then does beneficial work for the scientificity of pricing model of convertible bonds. |
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