Analysis Of Gehua Convertible Bond Pricing Problem Based On Least Square Monte Carlo Simulation

Convertible bond is a kind of complicated with characteristics of nature of equity and debt instruments,domestic convertible bond has the characteristics of American option and the value of path dependency is convertible bonds pricing problem.Currently on the market of convertible bonds are typically embedded multiple complex terms,it is because of the complexity and particularity of the convertible bond terms,most investors in the secondary market is difficult to accurately determine the value of convertible bonds.Therefore,the precise and reasonable pricing of convertible bonds is crucial to the future development of the convertible bond market.This article wants through the case analysis can be more accurate for the convertible bonds pricing,help investors look for more investment opportunities and avoid investment risk,help reasonable distribution companies to raise funds and reduce the cost of financing,finally can not only realize the diversification of investment in financial markets,combination,and will also promote the convertible bonds market healthy and orderly development of our country.In this paper,case analysis and quantitative analysis are used to analyze the pricing of convertible bonds.Using the least squares monte carlo simulation method to solve gehua ticketmaster bond pricing American options that exist in the characteristics and the path dependence problem,through Matlab processing data and calculate the price,and evaluate the least squares monte carlo simulation method.After the analysis of the case,this paper concludes that the model is more accurate than the traditional method,and the second is that the convertible bond market may be overvalued.Finally,this paper puts forward some Suggestions from investors,issuers and regulators.