Research On Practical Valuation Methods Of Representative Convertible Bonds

Convertible corporate bonds(referred to as "convertible bonds"),as a hybrid financial derivative with both bond attributes and stock attributes,have been favored by investors and financing companies in the financial market because of their unique investment advantages and investment value.Enthusiastic.Convertible bonds have been issued in China for more than 20 years,but due to the late start compared to foreign countries,the related pricing research is not mature enough,and the research results are far from actual market data.The pricing tools provided by representative financial service providers lack cross-variety and cross-time.Reliability.In September 2017,China began to implement the convertible bond credit purchase policy,further reducing the investment threshold.However,due to the complexity of the embedded option structure of convertible bonds,many previous researches have based on numerical methods and analytical methods of pricing models,and cannot accurately and stably estimate convertible bonds.The reason may be that most of the previous studies have boundary conditions or do not consider the mutual game between embedded options,which makes the pricing result deviate from the market competition result.This paper uses two-valued options to duplicate convertible bonds,uses BS model pricing,and adjusts it taking into account investor behavior characteristics.The results show:(1)Taking the price of the convertible bond's underlying stock to 90% of the compulsory redemption price as a boundary,constructing different pricing models for the convertible bond can make the valuation results more closely match the market transaction results.(2)In the valuation of convertible bonds,it is necessary to analyze the impact of investor psychology on the price of convertible bonds,which can make the valuation process more in line with the actual situation of the market.The research results of this paper are reflected in the fact that the valuation results of convertible bonds are highly consistent with the daily transaction data of the market.At the application level,a highly operational reference pricing method is provided,which provides a new direction for other researchers in terms of theoretical models.