| The paper discusses the pricing of convertible bonds ("CB" for short) of china, after analyzing CB of china, I modify LYON model and get the CB pricing model and make it fit the property of CB in China. At last an empirical test is carried out on the Jingying CB by using the modified model.Firstly, the paper outlines the pricing of CB on background, goals, domestic and foreign related fundamental research, introduces the basic concept, property, Character, correlative terms of CB and the development process of CB both in china and foreign countries. Then the paper introduces the pricing model of CB and analyzes these theories in detail. Taking into the situation of our country, I select LYON model which fit the situation.Secondly, I analyze terms of china CB and discover that the chance of redemption option is hardly carried out,so the paper does not consider of it; Capital bonus has little effect to conversion price in china, so the paper gets rid of changing conversion price by capital bonus; The term of call option is usually used with the term of special downward revision, without the pressure of call option, the company will not rectify the conversion price, whether the term of special downward revision will be carried out or not is still unknown, so the paper does not consider it, at same time, the paper consider the call price as base line. Then the paper modifies both the LYON model and terms, at last gets the modified model which fit the property of China CB.Thirdly, I select JingYing CB as object, parameters are estimated first, including the riskless rate, stock price volatility of JingYing shares and the model's parameters, then get the theory price of JingYing CB by finite difference method and find that the theory price is higher over the real price of JingYing CB, then analyze the result.In the end, it is the ending.Point out the conclusion,the shortage and the further research. Considering the situation of china CB, the paper makes some pieces of advice at last. |
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